Results 31 to 40 of about 29,042 (316)
Risk managing bermudan swaptions in the libor BGM model [PDF]
, 2003 This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as the ...
Pelsser, A.A.J. (Antoon) +1 more
core +1 more source
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
The relation between physical and risk-neutral cumulants [PDF]
, 2006 Variance swaps are natural instruments for investors taking directional bets on volatility and are often used for portfolio protection. But the crucial observation suggests that derivative professionals may desire to hedge beyond volatility risk and ...
Zhao, H, Zhang, EJ, Chang, EC
core +5 more sources
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
The Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period
Risks, 2022 The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period.
Alessandra Ortolano, Eugenia Nissi
doaj +1 more source
Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]
PanoeconomicusThis study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet +2 more
doaj +1 more source
İstanbul İktisat Dergisi, 2023 This study aims to investigate the effect of the credit default swap (CDS) on the Turkish stock market. More specifically, it analyses whether the relationship between CDS and the Turkish stock market has changed during the period of unprecedented stock ...
Veysel Karagöl
doaj +1 more source
Analytically pricing volatility swaps under stochastic volatility
Journal of Computational and Applied Mathematics, 2015 Papers focusing on analytically pricing discretely-sampled volatility swaps are rare in literature, mainly due to the inherent difficulty associated with the nonlinearity in the pay-off function. In this paper, we present a closed-form exact solution for the pricing of discretely-sampled volatility swaps, under the framework of Heston (1993) stochastic
Zhu, Song-Ping, Lian, Guang-Hua
openaire +4 more sources
Speculators, prices and market volatility [PDF]
, 2015 We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find
Brunetti, Celso +2 more
core +1 more source
East Asian Economic Review, 2015 The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan.
Taly I
doaj +1 more source