Results 41 to 50 of about 57,482 (138)
Why do variance swaps exist? [PDF]
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 ...
Alfonso Novales Cinca +2 more
core
The Rise and Fall of S&P500 Variance Futures [PDF]
Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures.
Chia-Lin Chang +3 more
core +3 more sources
Arbitrage Bounds for Prices of Weighted Variance Swaps [PDF]
arXiv, 2010 We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them.
arxiv
Variance Swaps and Intertemporal Asset Pricing [PDF]
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
Alfonso Novales Cinca +2 more
core
Optimal investments in volatility [PDF]
, 2018 Volatility has evolved as an attractive new asset class of its own. The most common instruments for trading volatility are variance swaps. Mean returns of DAX and ESX variance swaps over the time period of 1995 to 2004 are strongly negative, and only ...
Hafner, Reinhold, Wallmeier, Martin
core
Optimal Variance Swaps Portfolios and Estimating Greeks for Variance-Gamma [PDF]
, 2011 In this dissertation, we investigate two problems: constructing optimal variance swaps portfolios and estimating Greeks for options with underlying assets following a Variance Gamma process.
Cao, Lingyan
core
Variance Swaps on Defaultable Assets and Market Implied Time-Changes [PDF]
arXiv, 2012 We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\'{e}vy measure, local stochastic volatility and have a local stochastic default intensity.
arxiv
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments [PDF]
, 2017 This 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,
Egloff, Daniel +2 more
core
Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets [PDF]
arXiv, 2017 This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\'{e}vy jumps. By using the equilibrium framework, we obtain the pricing kernel and the equivalent martingale measure ...
arxiv
Normalization for Implied Volatility [PDF]
arXiv, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
arxiv