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Information, 2021 During the search for S-boxes resistant to Power Attacks, the S-box space has recently been divided into Hamming Weight classes, according to its theoretical resistance to these attacks using the metric variance of the confusion coefficient.
Carlos Miguel Legón-Pérez +5 more
doaj +1 more source
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment ...
Olhede, Sofia +2 more
core +6 more sources
Moment Methods for Exotic Volatility Derivatives [PDF]
, 2007 The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process.
Albanese, Claudio, Osseiran, Adel
core +2 more sources
Pricing volatility derivatives under the modified constant elasticity of variance model [PDF]
, 2015 © 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach.
Chan, L, Platen, E
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On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics, 2014 This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi +2 more
doaj +1 more source
, 2011 The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a relative of the variance swap that in several respects has more desirable properties.
openaire +2 more sources
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
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On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
core +2 more sources
Weighted variance swaps hedge against Impermanent Loss
SSRN Electronic Journal, 2022 Decentralized Exchanges (DEXes) allow users to trade in a fully noncustodial manner. Traders can directly swap their digital currencies using a smart contract, a program running on the blockchain, rather than trusting a central counterparty with their funds.
Masaaki Fukasawa +2 more
openaire +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