Results 111 to 120 of about 39,238 (166)
Assessing interconnectedness and systemic importance of Chinese financial institutions. [PDF]
iScienceLiu Z, Wang L, Huang C, Yang B.
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Anticonformists catalyze societal transitions and facilitate the expression of evolving preferences. [PDF]
PNAS NexusMittal D +2 more
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Taylor-Made Volatility Swaps [PDF]
SSRN Electronic Journal, 2015 Using little else than the mixing formula and Taylor expansions we show that the volatility swap strike is approximately the implied volatility corresponding to the strike where the vanna and vomma of a vanilla option is zero. As this result does not require any heavy numerical computations, and is valid for a large class of stochastic volatility ...
Frido Rolloos, Melih Arslan
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Quantitative Finance, 2004
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Espen Gaarder Haug +2 more
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This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential equation (PDE) approach to determine the first two moments of the realized variance in a continuous or discrete context.
Espen Gaarder Haug +2 more
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On the valuation of variance swaps with stochastic volatility
Applied Mathematics and Computation, 2008Abstract This paper is an extension to a recent paper by Zhu and Lian (2011) [1] , in which a closed-form exact solution was presented for the price of variance swaps with a particular definition of the realized variance. Here, we further demonstrate that our approach is quite versatile and can be used for other definitions of the realized variance ...
Zhu, Song-Ping, Lian, Guang-Hua
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A Guide to Volatility and Variance Swaps
The Journal of Derivatives, 1999Trading in derivatives has caused investors, and especially market makers, to be concerned with the volatility of asset returns along with their direction. Uncertain and time-varying volatility imparts risk to an otherwise hedged position, and volatility risk is not easy to manage with ordinary instruments.
Emanuel Derman +3 more
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