Results 131 to 140 of about 39,238 (166)

Modeling volatility and changes in the swap spread

International Review of Financial Analysis, 2003
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and ...
Francis Haeuck In, Robert Brown, Victor Fang   +2 more
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Quadratic hedging strategies for volatility swaps

Finance Research Letters, 2015
Abstract This paper investigates a variance-optimal hedging strategy for volatility swaps under exponential Levy dynamics. To obtain the optimal initial capital and the optimal amount of the underlying asset, we derive the explicit expressions of the Follmer–Schweizer decomposition, which in turn implies the explicit expressions of hedging strategies.
Jianping Fu, Xingchun Wang, Guanying Wang, Yongjin Wang   +3 more
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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities

SSRN Electronic Journal, 2009
We consider a semi-Markov modulated market consisting of a riskless asset or bond, B, and a risky asset or stock, S, whose dynamics depend on a semi-Markov process x. Using the martingale characterization of semi-Markov processes, we note the incompleteness of semi-Markov modulated markets and find the minimal martingale measure.
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The Short-Time ATM Skew and Volatility Swaps

SSRN Electronic Journal, 2021
The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.
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Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

Stochastic Analysis and Applications, 2020
In this paper, we consider volatility swap and variance swap when the underlying asset is described by a process with multiple stochastic volatility models.
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Dynamics of Interest Rate Swap and Equity Volatilities

SSRN Electronic Journal, 2013
While CBOE's VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed-income markets.
Catherine Shalen, Antonio Mele, Antonio Mele, Antonio Mele, Yoshiki Obayashi   +4 more
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A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models

SSRN Electronic Journal, 2020
It is well-known that in normal stochastic volatility models with zero correlation the fresh volatility swap price is exactly equal to the at-the-money implied volatility. To replicate a volatility swap, however, the price of a volatility swap at inception is insufficient. Its price throughout its life must be calculated.
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Simulation of Stochastic Volatility Variance Swap

2018
This paper aims to propose efficient mathematical model of variance swap to study the effect of stochastic volatility in different time-scales on the option pricing. Two types of stochastic volatility, including Ornstein-Uhlenbeck (OU) process and Cox-Ingersoll-Ross (CIR) process are considered. Analytical solution of CIR model is presented. For the OU
Shican Liu, Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +4 more
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Variance and Volatility Swaps: Bubbles and Fundamental Prices

SSRN Electronic Journal, 2010
The martingale theory of price bubbles defines an asset bubble to exist when the asset’s price process is a strict local martingale, that is, a local martingale that is not a martingale. Using this definition of a price bubble, for continuous semimartingales, we characterize the conditions under which variance and volatility swaps inherit the ...
Robert A. Jarrow, Younes Kchia, Martin Larsson, Philip Protter   +3 more
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Volatility and Variance Swaps for the COGARCH(1,1) Model

Wilmott Journal, 2010
In this paper, we present volatility and variance swaps valuations for the COGARCH (1,1) model introduced by Kluppelberg et al. (2004). We consider two numerical examples: for compound Poisson COGARCH(1,1) and for variance gamma COGARCH(1,1) processes.
Anatoliy Swishchuk, Matthew Couch
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