Results 211 to 220 of about 598,241 (259)

Modeling volatility and changes in the swap spread

International Review of Financial Analysis, 2003
We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and ...
Francis Haeuck In, Robert Brown, Victor Fang   +2 more
openaire   +2 more sources

Recursive Algorithms for Pricing Discrete Variance Options and Volatility Swaps Under Time-Changed Lèvy Processes

, 2015
We propose robust numerical algorithms for pricing variance options and volatility swaps on discrete realized variance under general time-changed Levy processes.
Wendong Zheng, C. Yuen, Y. Kwok
semanticscholar   +1 more source

Quadratic hedging strategies for volatility swaps

Finance Research Letters, 2015
Abstract This paper investigates a variance-optimal hedging strategy for volatility swaps under exponential Levy dynamics. To obtain the optimal initial capital and the optimal amount of the underlying asset, we derive the explicit expressions of the Follmer–Schweizer decomposition, which in turn implies the explicit expressions of hedging strategies.
Jianping Fu, Xingchun Wang, Guanying Wang, Yongjin Wang   +3 more
openaire   +2 more sources

Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities

SSRN Electronic Journal, 2009
We consider a semi-Markov modulated market consisting of a riskless asset or bond, B, and a risky asset or stock, S, whose dynamics depend on a semi-Markov process x. Using the martingale characterization of semi-Markov processes, we note the incompleteness of semi-Markov modulated markets and find the minimal martingale measure.
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The Short-Time ATM Skew and Volatility Swaps

SSRN Electronic Journal, 2021
The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.
openaire   +2 more sources

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Expert systems with applications, 2023
Sha Lin, Xin‐Jiang He
semanticscholar   +1 more source

Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility

Computational Economics, 2023
Ke Wang, Xunxiang Guo
semanticscholar   +1 more source

Dynamics of Interest Rate Swap and Equity Volatilities

SSRN Electronic Journal, 2013
While CBOE's VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed-income markets.
Catherine Shalen, Antonio Mele, Antonio Mele, Antonio Mele, Yoshiki Obayashi   +4 more
openaire   +2 more sources

EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE

International Journal of Theoretical and Applied Finance, 2019
This paper focuses on the pricing of variance swaps in incomplete markets where the short rate of interest is determined by a Cox–Ingersoll–Ross model and the stock price is determined by a Heston model with simultaneous Lévy jumps. We obtain the pricing
Ben-Zhang Yang, Jia Yue, N. Huang
semanticscholar   +1 more source

Analytical pricing formulae for variance and volatility swaps with a new stochastic volatility and interest rate model

Expert systems with applications, 2022
Xin‐Jiang He, Song‐Ping Zhu
semanticscholar   +1 more source