Results 51 to 60 of about 26,900 (296)
Model-independent hedging strategies for variance swaps [PDF]
Finance and Stochastics, 2012 A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with continuous paths it is well known that the variance swap payoff can be replicated exactly using a portfolio of puts and ...
David Hobson, Martin Klimmek
openaire +5 more sources
Prices and Asymptotics for Discrete Variance Swaps
, 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 ...
Bernard, Carole, Cui, Zhenyu
core +1 more source
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
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Reciprocal control of viral infection and phosphoinositide dynamics
FEBS Letters, EarlyView.Phosphoinositides, although scarce, regulate key cellular processes, including membrane dynamics and signaling. Viruses exploit these lipids to support their entry, replication, assembly, and egress. The central role of phosphoinositides in infection highlights phosphoinositide metabolism as a promising antiviral target.
Marie Déborah Bancilhon, Bruno Mesmin
wiley +1 more source
, 2023 A variance swap is a forward contract on annualized variance, the square of the realized volatility. The holder of a variance swap at expiration receives a notional amount of dollar for every point by which the stock’s realized variance has exceeded the variance delivery price.
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On the volatility of volatility [PDF]
, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
core +2 more sources
A Cre‐dependent lentiviral vector for neuron subtype‐specific expression of large proteins
FEBS Letters, EarlyView.We designed a versatile and modular lentivector comprising a Cre‐dependent switch and self‐cleaving 2A peptide and tested it for co‐expression of GFP and a 2.8 kb gene of interest (GOI) in mouse cortical parvalbumin (PV+) interneurons and midbrain dopamine (TH+) neurons.
Weixuan Xue +6 more
wiley +1 more source
Discounted-likelihood valuation of variance and volatility swaps
Financial InnovationThe valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral
Napat Rujeerapaiboon +2 more
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
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By dawn or dusk—how circadian timing rewrites bacterial infection outcomes
FEBS Letters, EarlyView.The circadian clock shapes immune function, yet its influence on infection outcomes is only beginning to be understood. This review highlights how circadian timing alters host responses to the bacterial pathogens Salmonella enterica, Listeria monocytogenes, and Streptococcus pneumoniae revealing that the effectiveness of immune defense depends not only
Devons Mo +2 more
wiley +1 more source