Results 11 to 20 of about 989 (299)

On pricing variance swaps in discretely-sampled with high volatility model

Results in Nonlinear Analysis, 2021
In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments ...
Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
doaj   +2 more sources

Smiling for the Delayed Volatility Swap

SSRN Electronic Journal, 2011
Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the paper is two-fold: application of change of time method to the delayed Heston model and ...
Anatoliy V. Swishchuk, Nelson Vadori
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Variance and volatility swaps in energy markets

The Journal of Energy Markets, 2010
This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model (mean-reverting) (or Pilipovi\'{c} one-factor model ...
Anatoliy Swishchuk
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African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]

Heliyon
Using the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu, Nana Kwame Akosah, Mohammed Armah   +2 more
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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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Pricing variance swaps with stochastic volatility [PDF]

Mathematical and Statistical Economics, 2020
Stiefenhofer P, Ze F, Gregoriou A
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The Transmission of Swap Spreads and Volatilities in the International Swap Markets

SSRN Electronic Journal, 2002
We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities.
Young Ho Eom, Marti G. Subrahmanyam, Jun Uno   +2 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.
Anatoliy Swishchuk
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Pricing of Pseudo-Swaps Based on Pseudo-Statistics

Risks, 2023
The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
doaj   +1 more source

Volatility Investing with Variance Swaps [PDF]

SSRN Electronic Journal, 2010
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. It happened due to emergence of a market for new derivative instruments - variance swaps.
Wolfgang Karl Härdle, Elena Silyakova
openaire   +3 more sources