Results 141 to 150 of about 39,238 (166)

Pricing forward-start variance swaps with stochastic volatility

Applied Mathematics and Computation, 2015
Abstract In this paper, a general approach is presented to price forward-start variance swaps with discrete sampling times, based on the Heston (1993)’s two-factor stochastic volatility model. Using this approach we work out two analytical closed-form formulae for the price of forward-start variance swap with the realized variance being defined by ...
Zhu, Song-Ping, Lian, Guang-Hua
openaire   +4 more sources

AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS [PDF]

International Journal of Theoretical and Applied Finance, 2012
In this paper we propose a diffusion model relating the stock price dynamics to the CDS spread dynamics of a company by assuming a linear relationship between instantaneous stock volatility and CDS spread. To value contingent claims under this model we apply a finite elements discretization to the associated pricing partial differential equation.
openaire   +2 more sources

The Swap Market Model with Local Stochastic Volatility

SSRN Electronic Journal, 2017
The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions and stochastic volatility scaling factors. We provide a Dupire-like formula with which calibration can be carried out with the particle algorithm in an efficient manner.
openaire   +2 more sources

Variance and volatility swaps for levy process based stochastic volatilities

2010
Bibliography: p.
openaire   +2 more sources

Which uncertainty is powerful to forecast crude oil market volatility? New evidence

International Journal of Finance and Economics, 2022
Xiafei Li, Yu Wei, Xiaodan Chen
exaly  

The information content of uncertainty indices for natural gas futures volatility forecasting

Journal of Forecasting, 2021
Chao Liang, Feng Ma, Lu Wang
exaly  

Can Internet Search Queries Help to Predict Stock Market Volatility?

European Financial Management, 2016
Thomas Dimpfl
exaly  

Oil financialization and volatility forecast: Evidence from multidimensional predictors

Journal of Forecasting, 2019
Qiang Ji, Mehmet Dogan
exaly  

On Variance and Volatility Swaps in Oil Markets

Journal of Computer Science & Computational Mathematics, 2017
Guerouah Amine, Halim Zeghdoudi, Fatima Zohra Bouseba   +2 more
openaire   +2 more sources

Forecasting realized volatility of oil futures market: A new insight

Journal of Forecasting, 2018
Feng Ma, Yu Wei
exaly