Results 31 to 40 of about 13,219 (214)

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

Comparison of Model for Pricing Volatility Swaps [PDF]

SSRN Electronic Journal, 2013
The popularity of volatility derivatives has increased through these years of financial turmoil. In particular, variance and volatility swap seem interesting to analyse due to its growing trading volume. Hence, the aim of this work is to present a full revision of these two volatility derivatives, comparing pricing methodologies, like Taylor expansion ...
openaire   +3 more sources

Do changes in the implied volatility of stock options predict future changes in CDS spreads? [PDF]

Seonmul yeongu
This 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

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, Patcharee Sumritnorrapong   +1 more
doaj   +1 more source

Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]

Panoeconomicus
This 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, Cevik Emrah Ismai, Dibooglu Sel   +2 more
doaj   +1 more source

Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]

arXiv, 2022
In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv  

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

Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea

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

How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model

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