Results 11 to 20 of about 29,458 (274)
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 Swishchuk, Nelson Vadori
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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
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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 +2 more
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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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On the difference between the volatility swap strike and the zero vanna\n implied volatility [PDF]
SIAM Journal on Financial Mathematics, 2019 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
Elisa Alòs +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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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 variance swaps with stochastic volatility [PDF]
Mathematical and Statistical Economics, 2020 Pascal Stiefenhofer +2 more
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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
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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
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