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Effect of Variance Swap in Hedging Volatility Risk [PDF]
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
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A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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Borsa Istanbul Review, 2019 In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey.
Samet Gunay
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Variance swap volatility dispersion [PDF]
Derivatives Use, Trading & Regulation, 2006 Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
Izzy Nelken
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On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index [PDF]
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
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Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]
SSRN Electronic Journal, 2017 In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
Anatoliy Swishchuk, Zijia Wang
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Borsa Istanbul Review, 2023 Using the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on ...
Alan T. Wang, Chin-Chia Liang
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Trading Risk and Volatility in Interest Rate Swap Spreads [PDF]
SSRN Electronic Journal, 2004 This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge ...
John Kambhu
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AIMS MathematicsThe CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
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Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model [PDF]
, 2000 This paper presents a number of new ideas concerned with the implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities used by the market to price European swap options ...
John C. Hull, Alan White
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