The role of financial investments in agricultural commodity derivatives markets [PDF]
This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders ...
Alessandro Borin, Virginia Di Nino
core
A Unified Framework for Pricing Credit and Equity Derivatives
, 2008 We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a ...
Bayraktar, Erhan, Yang, Bo
core +1 more source
A Proposal for Multi-asset Generalised Variance Swaps [PDF]
arXiv, 2019 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities.
arxiv
New solvable stochastic volatility models for pricing volatility derivatives [PDF]
arXiv, 2012 Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1- GARCH, and 3/2 - the 3/2 model.
arxiv
Pricing caps with HJM models: the benefits of humped volatility [PDF]
In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data.
Jury Falini
core
Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm. [PDF]
Comput Econ, 2022 Alsayed ARM.
europepmc +1 more source
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps [PDF]
arXiv, 2010 Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the range of liquidly traded strikes of plain-vanilla option prices, the situation is more involved for extremely out-of-
arxiv
Corridor implied volatility and the variance risk premium in the Italian market [PDF]
Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers.
Silvia Muzzioli
core +1 more source
Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure [PDF]
arXiv, 2016 This paper considers the case of pricing discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, and the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) process with full correlation ...
arxiv
Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]
Eur Actuar J, 2023 Dupret JL, Barbarin J, Hainaut D.
europepmc +1 more source