Results 291 to 300 of about 29,042 (316)

Volatility and Variance Swaps for the COGARCH(1,1) Model

Wilmott Journal, 2010
In this paper, we present volatility and variance swaps valuations for the COGARCH (1,1) model introduced by Kluppelberg et al. (2004). We consider two numerical examples: for compound Poisson COGARCH(1,1) and for variance gamma COGARCH(1,1) processes.
Anatoliy Swishchuk, Matthew Couch
openaire   +2 more sources

AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS [PDF]

International Journal of Theoretical and Applied Finance, 2012
In this paper we propose a diffusion model relating the stock price dynamics to the CDS spread dynamics of a company by assuming a linear relationship between instantaneous stock volatility and CDS spread. To value contingent claims under this model we apply a finite elements discretization to the associated pricing partial differential equation.
openaire   +2 more sources

Local volatility and the recovery rate of credit default swaps

Journal of Economic Dynamics and Control, 2018
Abstract Credit default swap (CDS) spreads can only be decomposed into the probability of default and the loss-given-default by imposing some structure. Employing a hybrid binomial tree for equities and a recovery function, Das and Hanouna (2009) obtain accurate estimates for CDS spreads by fitting the model to historical equity volatilities.
Jeroen Jansen, Sanjiv R. Das, Frank J. Fabozzi   +2 more
openaire   +3 more sources

The Swap Market Model with Local Stochastic Volatility

SSRN Electronic Journal, 2017
The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions and stochastic volatility scaling factors. We provide a Dupire-like formula with which calibration can be carried out with the particle algorithm in an efficient manner.
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  

Tough and stretchable ionogels by in situ phase separation

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

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  

A large source of low-volatility secondary organic aerosol

Nature, 2014
Mikael Ehn, Joel A Thornton, Einhard Kleist   +2 more
exaly  

On Variance and Volatility Swaps in Oil Markets

Journal of Computer Science & Computational Mathematics, 2017
Guerouah Amine, Halim Zeghdoudi, Fatima Zohra Bouseba   +2 more
openaire   +2 more sources