FORWARD RATE VOLATILITIES, SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL [PDF]
, 2000 This paper presents a number of new ideas concerned with the implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities used by the market to price European swap options ...
Hull, John +2 more
core
Discretely sampled variance and volatility swaps versus their continuous approximations [PDF]
arXiv, 2011 Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions under which this approximation is valid.
arxiv
Target volatility option pricing in lognormal fractional SABR model [PDF]
arXiv, 2018 We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the target volatility option, assuming the accessibilities of all variance swaps and swaptions.
arxiv
How to calibrate Gaussian two-factor model using swaption. [PDF]
PLoS One, 2023 Choi M, Kang HG.
europepmc +1 more source
AN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS [PDF]
This paper examines the causal relationship between euro and sterling swap spreads during the period January, 1999 to March, 2003. The absence of any correlation between changes in the two swap spreads would indicate that credit risk factors are country ...
Somnath Chatterjee
core
Pricing variance swaps with stochastic volatility [PDF]
Mathematical and Statistical Economics, 2020 Stiefenhofer P, Ze F, Gregoriou A
openaire +3 more sources
Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. [PDF]
SN Bus Econ, 2023 Zada H, Maqsood H, Ahmed S, Khan MZ.
europepmc +1 more source
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model [PDF]
We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing
Damiano Brigo, Naoufel El-Bachir
core
A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]
We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core
Convergence of the discrete variance swap in time-homogeneous diffusion models [PDF]
arXiv, 2013 In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It extends Theorem 3.8 of Jarrow, Kchia, Larsson and Protter (2013) and gives an affirmative answer to a problem posed
arxiv