Results 21 to 30 of about 989 (299)
The Impact of Covid-19 on Emerging Stock Market Volatility: Empirical Evidence from Borsa Istanbul
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 The study aims to examine the impact of COVID-19 on the Turkish stock market volatility and reveal how different industries are affected by COVID-19. Volatility between pre-COVID and COVID periods are compared across industries to understand the impact ...
İbrahim Yağlı
doaj +1 more source
A note on contracts on quadratic variation. [PDF]
PLoS ONE, 2017 Given a Black stochastic volatility model for a future F, and a function g, we show that the price of [Formula: see text] can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap.
Carl Lindberg
doaj +1 more source
Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
doaj +1 more source
Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic
İzmir İktisat Dergisi, 2022 This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model,
Volkan Kaymaz, Özlem Yılmaz
doaj +1 more source
Interest Rate Swap Market Complexity and Its Risk Management Implications
Complexity, 2018 The primary objective of this paper is to study the post Dodd-Frank network structure of the interest rate swap market and propose a set of effective complexity measures to understand how the swap users respond to market risks.
Steve Y. Yang, Esen Onur
doaj +1 more source
How do “gatekeepers” affect credit risk?
Journal of Management Science and Engineering, 2021 This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression.
Xu Li, Xingtong Zhang, Yinggang Zhou
doaj +1 more source
Analytically pricing volatility swaps under stochastic volatility
Journal of Computational and Applied Mathematics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhu, Song-Ping, Lian, Guang-Hua
openaire +4 more sources
Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
doaj +1 more source
Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]
Seonmul yeonguThis study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows.
Changsoo Hong, Yuen Jung Park
doaj +1 more source
On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index
Journal of Probability and Statistics, 2014 This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi +2 more
doaj +1 more source