Model-Free Implied Volatility under Jump-Diffusion Models [PDF]
, 2019 The model-free implied volatility (MFIVol) is intended to measure the variability of underlying asset price on which options are written. Analytically, however, it does not measure exactly the variability under jump diffusion.
Choi, Seungmook, Yang, Hongtao
core +1 more source
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
Financial InnovationThis study investigates the determinants that drive the volatility of the credit default swaps (CDS) of BRICIT (Brazil, Russia, India, China, Indonesia, and Turkey) nations as a proxy measure for sovereign risk.
Pawan Kumar, Vipul Kumar Singh
doaj +1 more source
A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]
Comput Econ, 2023 Yoon Y, Kim JH.
europepmc +1 more source
Expecting the Unexpected: Entropy and Multifractal Systems in Finance. [PDF]
Entropy (Basel), 2023 Orlando G, Lampart M.
europepmc +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
Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions [PDF]
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis.
Ansgar Belke, Christian Gokus
core +3 more sources
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
PROFITABILITY CALCULATION AND ANALYSIS FOR INTEREST RATE SWAP USING THE HULL WHITE MODEL
BarekengThe London Inter-Bank Offered Rate (LIBOR) volatility had resulted in higher interest rate risks faced by many big companies and financial institutions whose assets depend on the interest rate.
Vania Rosalie Hadiono, Felivia Kusnadi
doaj +1 more source
The dynamic impact mechanism of China's financial conditions on real economy and international crude oil market. [PDF]
Heliyon, 2023 Li J, Li H, Jiang Y.
europepmc +1 more source