Results 11 to 20 of about 26,900 (296)
Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]
PLoS ONEThis paper presents the pricing formulas for variance swaps within the Heston model that incorporates jumps and a stochastic long-term mean for the underlying asset. By leveraging the Feynman-Kac theorem, we derive a partial integro-differential equation
Jing Fu
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Why do variance swaps exist [PDF]
, 2011 This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns.
Belén Nieto +2 more
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Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]
Risks, 2023 In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities.
Anatoliy Swishchuk, Sebastian Franco
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Hedging (Co)Variance Risk with Variance Swaps [PDF]
International Journal of Theoretical and Applied Finance, 2008 In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance swaps.
José Da Fonseca +2 more
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Variance swap volatility dispersion [PDF]
Derivatives Use, Trading & Regulation, 2006 Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
Izzy Nelken
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Arithmetic variance swaps [PDF]
Quantitative Finance, 2016 Biases in standard variance swap rates can induce substantial deviations below market rates. Defining realised variance as the sum of squared price (not log-price) changes yields an `arithmetic' variance swap with no such biases. Its fair value has advantages over the standard variance swap rate: no discrete-monitoring or jump biases; and the same ...
Leontsinis, Stamatis, Alexander, Carol
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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps [PDF]
Frontiers in Applied Mathematics and Statistics, 2021 Estimates of risk-neutral densities of future asset returns have been commonly used for pricing new financial derivatives, detecting profitable opportunities, and measuring central bank policy impacts.
Liyuan Jiang +4 more
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Quadratic Variance Swap Models
SSRN Electronic Journal, 2013 AbstractWe introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis.
Damir Filipović +2 more
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Variance swaps and intertemporal asset pricing [PDF]
The Spanish Review of Financial Economics, 2011 This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to deviations from Normality in the distribution of returns are able to explain time-varying financial and ...
Belén Nieto +2 more
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On pricing variance swaps in discretely-sampled with high volatility model
Results in Nonlinear Analysis, 2021 In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments ...
Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
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