Results 31 to 40 of about 937,800 (166)
Prices and Asymptotics for Discrete Variance Swaps [PDF]
, 2013 We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model).
arxiv +1 more source
Entropy, 2014 We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri and Schneider (Appl. Math. Finance
Cassio Neri, Lorenz Schneider
doaj +1 more source
Evaluating Algorithm Efficiency for Optimizing Experimental Designs with Correlated Data
Algorithms, 2018 The search for efficient methods and procedures to optimize experimental designs is a vital process in field trials that is often challenged by computational bottlenecks.
Lazarus K. Mramba, Salvador A. Gezan
doaj +1 more source
Causality between sovereign, quasi-sovereign credit risks and global volatility: The case of Russia
Journal of Eurasian Studies, 2016 The article examines causalities between sovereign, most important quasi-sovereign CDS prices (Gazprom, VTB, Sberbank) for Russia and the global volatility factor embedded in the VIX index dynamics.
Mikhail Stolbov
doaj +1 more source
Pricing Volatility Referenced Assets
Revista Brasileira de Finanças, 2006 Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility.
Alan De Genaro Dario
doaj
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models [PDF]
arXiv, 2020 In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition.
arxiv
Pre-processing Agilent microarray data
BMC Bioinformatics, 2007 Background Pre-processing methods for two-sample long oligonucleotide arrays, specifically the Agilent technology, have not been extensively studied. The goal of this study is to quantify some of the sources of error that affect measurement of expression
Schaeffer Edward +7 more
doaj +1 more source
Pricing variance swaps with stochastic volatility
Mathematical and Statistical Economics, 2020 In this paper we present an efficient approach to price variance swaps with continuous time. We also obtain a closed form exact solution based on the Heston stochastic volatility model.
P. Stiefenhofer, Z. Fu, A. Gregoriou
semanticscholar +1 more source
Inter-Dealer OTC E-markets [PDF]
Informatică economică, 2012 The global OTC markets have been very active in the past decade as many institutions have chosen to rely on growth in the OTC issuance to facilitate deal-making outside of the exchange regulated avenues.
Iosif ZIMAN
doaj
Uncertainty in Pricing and Risk Measurement of Survivor Contracts
RisksAs life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets.
Kenrick Raymond So +4 more
doaj +1 more source