Results 261 to 270 of about 26,900 (296)

MODEL‐INDEPENDENT LOWER BOUND ON VARIANCE SWAPS

Mathematical Finance, 2011
It is well known that, under a continuity assumption on the price of a stock S, the realized variance of S for maturity T can be replicated by a portfolio of calls and puts maturing at T. This paper assumes that call prices on S maturing at T are known for all strikes but makes no continuity assumptions on S.
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Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

SSRN Electronic Journal, 2007
With increasing appreciation of the fact that stock return variance is stochastic and variance risk is heavily priced, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the most actively traded of these products.
Markus Leippold, Liuren Wu, Daniel Egloff   +2 more
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Affine Variance Swap Curve Models

SSRN Electronic Journal, 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified points on the variance swap curve.
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Credit Variance Swaps and Volatility Indexes

SSRN Electronic Journal, 2013
Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which re‡ect the fair value of dedicated credit variance swaps that are forward-looking in nature.
Antonio Mele, Yoshiki Obayashi
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VIX as a Variance Swap

SSRN Electronic Journal, 2012
Regardless its legacy name as a volatility index, VIX is calculated as a variance swap. Unlike an actual swap, variance swap is a forward contract on realized variance. The note provides a link between theoretical pricing of a variance swap and VIX calculation formula.
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Pricing and Hedging Variance Swaps on a Swap Rate

SSRN Electronic Journal, 2013
We solve the pricing and hedging problem for the generic variance swap on a swap rate. The solution is not limited to a specifc swap rate model approximation. In order to address the absence of arbitrage constraints and to preserve the model complexity, we develop an alternative approach to swap rate approximations.
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Variance swaps with mean reversion and multi-factor variance

European Journal of Operational Research
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bin Wu, Pengzhan Chen, Wuyi Ye
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Delta-Hedging and Variance Swap Replication

SSRN Electronic Journal, 2019
Papers treating variance swap replication often mention that the replicating portfolio consists of a static position in an appropriately weighted continuous strip of options, and a dynamic position in the underlying asset that can be regarded as the delta-hedge of the strip of options.
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Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach

Economics Letters, 2021
Ioannis Chatziantoniou, David Gabauer, Alexis Stenfors   +2 more
exaly  

Variance swaps

2011
Wolfgang Karl Härdle, Elena Silyakova
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