Results 261 to 270 of about 989 (299)

On the valuation of variance swaps with stochastic volatility

Applied Mathematics and Computation, 2008
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Zhu, Song-Ping, Lian, Guang-Hua
openaire   +4 more sources

A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models

SSRN Electronic Journal, 2020
It is well-known that in normal stochastic volatility models with zero correlation the fresh volatility swap price is exactly equal to the at-the-money implied volatility. To replicate a volatility swap, however, the price of a volatility swap at inception is insufficient. Its price throughout its life must be calculated.
openaire   +1 more source

Identifying Term Structure Volatility from the LIBOR-swap Curve

SSRN Electronic Journal, 2004
This paper proposes a new family of specification tests and applies them to affine term structure models of the London Interbank Offered Rate (LIBOR)-swap curve. Contrary to Dai and Singleton (2000), the tests show that when standard estimation techniques are used, affine models do a poor job of forecasting volatility at the short end of the term ...
openaire   +2 more sources

Replacement of Less-Preferred Dipolar Aprotic and Ethereal Solvents in Synthetic Organic Chemistry with More Sustainable Alternatives

Chemical Reviews, 2022
Andrew Jordan, Helen F Sneddon
exaly  

Ion Dissociation in Ionic Liquids and Ionic Liquid Solutions

Chemical Reviews, 2020
Joan F Brennecke
exaly  

Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading

2015
Robert L. Kosowski, Salih N. Neftci
openaire   +1 more source

Tough and stretchable ionogels by in situ phase separation

Nature Materials, 2022
Meixiang Wang, Mohammad Shamsi, Wen Qian
exaly  

Volatility Transmission of Credit Default Swap CDS Risk Premiums

2015
 Küresel krizin ardından uluslararası finansal piyasalar arasında oynaklık geçişi giderek önem kazanmıştır. Bu çalışmanınamacı, küresel krizin Brezilya, Rusya, Çin, Güney Afrika ve Türkiye’de Kredi Temerrüt Takası (CDS) risk primi oynaklık düzeyiüzerine etkisini ve ülkeler arası oynaklık geçişlerini belirlemektir. Söz konusu ülkelere ait 27 Ocak 2003 –
URAL, Mert, DEMİRELİ, Erhan
openaire   +2 more sources

Saturation Vapor Pressures and Transition Enthalpies of Low-Volatility Organic Molecules of Atmospheric Relevance: From Dicarboxylic Acids to Complex Mixtures

Chemical Reviews, 2015
Merete Bilde, Kelley Barsanti, Christopher Cappa   +2 more
exaly  

Volatility Swap

2008
openaire   +1 more source