Results 11 to 20 of about 29,042 (316)

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]

Risks, 2023
In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities.
Anatoliy Swishchuk, Sebastian Franco
doaj   +2 more sources

Volatility Swap Under the SABR Model [PDF]

, 2013
The SABR model is shortly presented and the volatility swap explained. The fair value for a volatility swap is then computed using the usual theory in financial mathematics. An analytical solution using confluent hypergeometric functions is found. The solution is then verified using Rama Cont's functional calculus.
Simon Bossoney
openalex   +4 more sources

Forward Start Volatility Swaps in Rough Volatility Models

Asia-Pacific Financial Markets
Abstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya   +2 more
openalex   +3 more sources

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
doaj   +2 more sources

Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]

Applied Mathematics and Computation, 2019
15PAGES
Ben-Zhang Yang, Yue Jia, Ming-hui Wang, Nan‐jing Huang   +3 more
openalex   +5 more sources

Sovereign Credit Default Swap Market Volatility in BRICS Countries Before and During the COVID-19 Pandemic

Scientific Annals of Economics and Business
SCDS (Sovereign Credit Default Swaps) are becoming more widely used as a country risk indicator after 2008 and stand out for providing real-time information rather than periodic reporting.
Letife Özdemir, Simon Grima, Ercan Özen, Ramona Rupeika-Apoga, Inna Romanova   +4 more
doaj   +3 more sources

The validity of variance and volatility swaps [PDF]

Journal of Derivatives & Hedge Funds, 2007
Stephen Satchell
openalex   +3 more sources

Discounted-likelihood valuation of variance and volatility swaps

Financial Innovation
AbstractThe valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral price, especially when the price has to be paid now and the payoff is only realized in the ...
Napat Rujeerapaiboon, Sanae Rujivan, Hui Chen   +2 more
openalex   +3 more sources

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   +5 more sources

Smiling for the Delayed Volatility Swaps [PDF]

Wilmott, 2011
We present a variance drift-adjusted version of the Heston model which leads to a significant improvement of the market volatility surface fitting (compared with Heston). The numerical example we performed with recent market data shows a significant reduction of the average absolute calibration error (calibration on 12 dates ranging from September 19 ...
Anatoliy Swishchuk, Nelson Vadori
openaire   +2 more sources