Results 231 to 240 of about 29,458 (274)

Variance Swaps Under Multiscale Stochastic Volatility of Volatility

Methodology and Computing in Applied Probability, 2020
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Min-Ku Lee, See-Woo Kim, Jeong-Hoon Kim
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On the valuation of variance swaps with stochastic volatility

Applied Mathematics and Computation, 2008
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Song-Ping Zhu, Guang-Hua Lian
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Transmission of Swap Spreads and Volatilities in the Japanese Swap Market

The Journal of Fixed Income, 2002
This is an investigation of the Japanese yen and U.S. dollar interest rate swap markets during 1990–2000. It examines spreads over comparable Treasury yields for different maturities and the transmission of shocks to swap spreads and volatilities from one market to the other.
Young Ho Eom, Marti G. Subrahmanyam, Jun Uno   +2 more
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A Guide to Volatility and Variance Swaps

The Journal of Derivatives, 1999
Trading in derivatives has caused investors, and especially market makers, to be concerned with the volatility of asset returns along with their direction. Uncertain and time-varying volatility imparts risk to an otherwise hedged position, and volatility risk is not easy to manage with ordinary instruments.
Kresimir Demeterfi, Emanuel Derman, Michael Kamal, Joseph Zou   +3 more
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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
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Variance and Volatility Swap Model

2023
A variance/volatility swap is an instrument that allows explicit exposure to the realized variance/volatility of an index, stock, etc., without exposure to other risks commonly encountered with derivatives: delta, gamma, etc.
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Credit Variance Swaps and Volatility Indexes

SSRN Electronic Journal, 2013
Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which re‡ect the fair value of dedicated credit variance swaps that are forward-looking in nature.
Antonio Mele, Yoshiki Obayashi
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Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives

Communications in Nonlinear Science and Numerical Simulation, 2021
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Sanae Rujivan, Udomsak Rakwongwan
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Quadratic hedging strategies for volatility swaps

Finance Research Letters, 2015
Abstract This paper investigates a variance-optimal hedging strategy for volatility swaps under exponential Levy dynamics. To obtain the optimal initial capital and the optimal amount of the underlying asset, we derive the explicit expressions of the Follmer–Schweizer decomposition, which in turn implies the explicit expressions of hedging strategies.
Xingchun Wang, Jianping Fu, Guanying Wang, Yongjin Wang   +3 more
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Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model

Stochastic Analysis and Applications, 2020
In this paper, we consider volatility swap and variance swap when the underlying asset is described by a process with multiple stochastic volatility models.
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