Results 41 to 50 of about 29,042 (316)
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
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
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
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
SSRN Electronic Journal, 2023 Revision of section on hedging volatility ...
openaire +2 more sources
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
Mathematics, 2021 At present, the study concerning pricing variance swaps under CIR the (Cox–Ingersoll–Ross)–Heston hybrid model has achieved many results; however, due to the instantaneous interest rate and instantaneous volatility in the model following the Feller ...
Chen Mao, Guanqi Liu, Yuwen Wang
doaj +1 more source
A guide to reactive oxygen species in tumour hypoxia: measurement and therapeutic implications
Molecular Oncology, EarlyView.Hypoxia reshapes tumour redox landscapes by altering compartmental ROS production (mitochondria, NOX, ER, peroxisomes). Accurate interpretation requires oxygen‐contextualised measurement (live biosensors, chemical probes, EPR, LC–MS) and awareness of artefacts (reoxygenation, probe specificity).
Lina Hacker +3 more
wiley +1 more source
Applied Finance LettersAt the start of the COVID-19 pandemic the increased market volatility and risk aversion led to a deterioration of U.S. Dollar funding conditions in the Euro Area.
Patty Duijm, Kai Schellekens
doaj +1 more source
Mathematics, 2020 This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016.
Laura Ballester, Ana González-Urteaga
doaj +1 more source
What are the macroeconomic drivers of the asset returns of Turkish banks?
Technological and Economic Development of Economy, 2022 The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018.
Zehra Civan +2 more
doaj +1 more source