Results 1 to 10 of about 616,096 (355)
Forward Start Volatility Swaps in Rough Volatility Models [PDF]
Asia-Pacific Financial Markets, 2022 Abstract This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility models. It is shown that in the short time-to-maturity limit the approximation error in the leading term of the correlated case with
Elisa Alòs +2 more
semanticscholar +4 more sources
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 Laplace transform method to evaluate volatility strikes and estimate VIX future prices.
Anatoliy Swishchuk, Zijia Wang
semanticscholar +6 more sources
Borsa Istanbul Review, 2023 Using the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on ...
Alan T. Wang, Chin-Chia Liang
doaj +3 more sources
A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching [PDF]
Financial InnovationThe effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps. This study established a two-stage procedure that simplifies the derivation by first isolating the regime switching from other ...
Xin-Jiang He, Sha Lin
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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
On pricing variance swaps in discretely-sampled with high volatility model
Results in Nonlinear Analysis, 2021 In this paper, we investigate valuation of discretely-sampled variance swaps in a financial asset price model with increase in volatility. More precisely, we consider a stochastic differential equation model with an additional parameter which augments ...
Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
doaj +2 more sources
Analyzing global utilization and missed opportunities in debt-for-nature swaps with generative AI [PDF]
Frontiers in Artificial IntelligenceWe deploy a prompt-augmented GPT-4 model to distill comprehensive datasets on the global application of debt-for-nature swaps (DNS), a pivotal financial tool for environmental conservation.
Nataliya Tkachenko +8 more
doaj +2 more sources
RisksThis 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 +2 more
doaj +2 more sources
AIMS MathematicsThe 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
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Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging [PDF]
Annals of Finance, 2021 In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long ...
Nicholas Salmon, Indranil SenGupta
openalex +2 more sources