Results 271 to 280 of about 29,042 (316)
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A Guide to Volatility and Variance Swaps
The Journal of Derivatives, 1999Trading 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.
Emanuel Derman +3 more
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Variance Swaps Under Multiscale Stochastic Volatility of Volatility
Methodology and Computing in Applied Probability, 2020Many hedge funds and retail investors demand volatility and variance derivatives in order to manage their exposure to volatility and volatility-of-volatility risk associated with their trading positions. The Heston model is a standard popular stochastic volatility model for pricing volatility and variance derivatives.
Min-Ku Lee, See-Woo Kim, Jeong-Hoon Kim
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Variance and Volatility Swap Model
2023A 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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The Transmission of Swap Spreads and Volatilities in the International Swap Markets
SSRN Electronic Journal, 2002We 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.
Jun Uno +2 more
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Transmission of Swap Spreads and Volatilities in the Japanese Swap Market
The Journal of Fixed Income, 2002This 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.
Marti G. Subrahmanyam +2 more
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Credit Variance Swaps and Volatility Indexes
SSRN Electronic Journal, 2013Credit 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 reect the fair value of dedicated credit variance swaps that are forward-looking in nature.
Antonio Mele +3 more
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Variance and volatility swaps in energy markets
The Journal of Energy Markets, 2010This 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 ...
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Modeling volatility and changes in the swap spread
International Review of Financial Analysis, 2003We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and ...
Francis Haeuck In +2 more
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Discrete variance swap in a rough volatility economy
Journal of Futures Markets, 2021AbstractThe discrete variance swap is one of the most popular volatility derivatives traded on the over‐the‐counter market. This paper discusses its valuation in a rough volatility economy and the impact of roughness on the term structure of discrete variance swap prices. A semianalytic solution is obtained through stochastic convolution. Our numerical
Yiru Xi, Hoi Ying Wong
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International swap market contagion and volatility
Economic Modelling, 2015Abstract Using interest rate swap yield and spread data the linkages and volatility transmission between three major international swap markets: Japan, UK and the US are investigated. The volatilities of the swap yield and spreads are decomposed into long and short term components enabling an assessment to be made of the strength and direction of the
Jonathan A. Batten +3 more
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