Results 1 to 10 of about 598,241 (259)

Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models [PDF]

SSRN Electronic Journal, 2017
In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and
Anatoliy Swishchuk, Zijia Wang
semanticscholar   +9 more sources

On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index [PDF]

Journal of Probability and Statistics, 2014
This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi, Abdellah Lallouche, Mohamed Riad Remita   +2 more
doaj   +3 more sources

Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

AIMS Mathematics
The CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively.
Xin-Jiang He, Sha Lin
doaj   +3 more sources

Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants [PDF]

Risks
This paper aims to investigate the volatility spillovers among selected emerging economies’ sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey.
Shumok Aljarba, Nader Naifar, Khalid Almeshal   +2 more
doaj   +3 more sources

Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]

Applied Mathematics and Computation, 2019
15PAGES
Ben-zhang Yang, Yue Jia, Ming-hui Wang, Nan‐jing Huang   +3 more
semanticscholar   +7 more sources

Discounted-likelihood valuation of variance and volatility swaps

Financial Innovation
The valuation of financial derivatives often assumes risk neutrality with respect to the risk-neutral martingale measure, which prevents arbitrage opportunities. However, casual traders may still incur substantial losses when trading at this risk-neutral
Napat Rujeerapaiboon, Sanae Rujivan, Hongdan Chen   +2 more
doaj   +3 more sources

Variance swap volatility dispersion [PDF]

Derivatives Use, Trading & Regulation, 2006
Several trading institutions are actively engaged in ‘volatility dispersion’ strategies. These involve selling volatility on the index and buying volatility on the components. This trade was traditionally done using at the money (ATM) straddles. An important practical problem with this approach is that market prices move and cause the original ATM ...
Izzy Nelken
openalex   +3 more sources

Volatility Investing with Variance Swaps [PDF]

SSRN Electronic Journal, 2010
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle.
Elena Silyakova, Wolfgang Karl Härdle
core   +5 more sources

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]

Risks, 2023
In this paper, we consider the problem of pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities.
Anatoliy Swishchuk, Sebastian Franco
doaj   +2 more sources

Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro [PDF]

International Journal of Financial Studies, 2016
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro.
Muhsin Kar, Tayfur Bayat, Selim Kayhan
doaj   +2 more sources