Results 31 to 40 of about 26,900 (296)
Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
Mathematics, 2023 In this paper, we creatively price the discretely sampled variance swaps under the mean-reverting Gaussian model (MRG model in short) with regime-switching asymmetric double exponential jump diffusion.
Anqi Zou, Jiajie Wang, Chiye Wu
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Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
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Variance Dispersion and Correlation Swaps [PDF]
SSRN Electronic Journal, 2007 In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correlation swaps or dispersion trades ...
Antoine Jacquier, Saad Slaoui
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Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada
Risks, 2023 This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil ...
Anatoliy Swishchuk
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Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
Discrete Dynamics in Nature and Society, 2021 This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing
Shican Liu +3 more
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
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Forecasting variance swap payoffs
Journal of Futures Markets, 2022 AbstractWe investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10‐year treasuries, gold, and crude oil. In‐sample analysis shows that structural breaks are an important feature when modeling payoffs, and hence the ex post variance risk premium.
Jonathan Dark +3 more
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Volatility Investing with Variance Swaps [PDF]
SSRN Electronic Journal, 2010 Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps.
Wolfgang Karl Härdle, Elena Silyakova
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IEEE Access, 2022 Designing an efficient data sorting algorithm that requires less time and space complexity is essential for computer science, different engineering disciplines, data mining systems, wireless networks, and the Internet of things.
Shahriar Shirvani Moghaddam +1 more
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The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments [PDF]
Journal of Financial and Quantitative Analysis, 2010 AbstractThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation ...
Egloff, Daniel +2 more
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