Results 51 to 60 of about 57,482 (138)
Volatility Investing with Variance Swaps [PDF]
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.
Elena Silyakova, Wolfgang Karl Härdle
core
Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation [PDF]
arXiv, 2017 In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error and the optimal hedging strategy, we use a Fourier approach in a general multidimensional semimartingale factor ...
arxiv
Forecasting the Term Structure of Variance Swaps [PDF]
Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for ...
Kai Detlefsen, Wolfgang Härdle
core
Assessing Credit with Equity: A CEV Model with Jump to Default [PDF]
Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps. Restrictive assumptions on the firmâs capital structure are avoided.
Luciano Campi, Sbuelz, Simon Polbennikov
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Model-Free Discretisation-Invariant Swap Contracts [PDF]
arXiv, 2016 Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-offs based on martingale and log ...
arxiv
Probabilistic Analysis of the Dual-Pivot Quicksort "Count" [PDF]
arXiv, 2017 Recently, Aum\"uller and Dietzfelbinger proposed a version of a dual-pivot quicksort, called "Count", which is optimal among dual-pivot versions with respect to the average number of key comparisons required. In this note we provide further probabilistic analysis of "Count".
arxiv
Pricing and Hedging Volatility Derivatives [PDF]
, 2008 This paper studies the pricing and hedging of variance swaps and other volatility derivatives, including volatility swaps and variance options, in the Heston stochastic volatility model.
Ashish Jain, Mark Broadie
core
Improved GNSS Ambiguity Fast Estimation Reduction Algorithm. [PDF]
Sensors (Basel), 2023 Li X, Xiong Y, Chen W, Xu S, Zhang R.
europepmc +1 more source
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.
Ian Martin
core
A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]
We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core