Results 11 to 20 of about 29,277 (321)

Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models

SSRN Electronic Journal, 2023
Revision of section on hedging volatility ...
Frido Rolloos
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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
openalex   +2 more sources

Taylor-Made Volatility Swaps

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
openalex   +2 more sources

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
openalex   +5 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 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

The validity of variance and volatility swaps [PDF]

Journal of Derivatives & Hedge Funds, 2007
Stephen Satchell
openalex   +2 more sources

A Volatility Swap for Each Season

SSRN Electronic Journal, 2019
Frido Rolloos
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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