Results 31 to 40 of about 29,458 (274)
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
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]
Applied Mathematics and Computation, 2019 15PAGES
Ben-Zhang Yang +3 more
openaire +3 more sources
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
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
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
Credit Spreads and Equity Volatility during Periods of Financial Turmoil
Applied Finance Letters, 2014 We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC ...
Katrin Gottschalk
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
Borsa Istanbul Review, 2022 This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into ...
Mustafa Tevfik Kartal +2 more
doaj +1 more source
Prices and Asymptotics for Discrete Variance Swaps
, 2013 We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving ...
Bernard, Carole, Cui, Zhenyu
core +1 more source
Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments [PDF]
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to ...
Akihiko Takahashi +2 more
core +6 more sources