Results 21 to 30 of about 598,241 (259)

Forward start volatility swaps in rough volatility models [PDF]

arXiv, 2022
arXiv admin note: text overlap with arXiv:1912 ...
Alòs, Elisa, Rolloos, Frido, Shiraya, Kenichiro   +2 more
openaire   +3 more sources

A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching

Financial Innovation
The 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
doaj   +2 more sources

Prices and Asymptotics for Discrete Variance Swaps [PDF]

, 2013
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving ...
Bernard, Carole, Cui, Zhenyu
core   +2 more sources

Sovereign Credit Default Swap Market Volatility in BRICS Countries Before and During the COVID-19 Pandemic

Scientific Annals of Economics and Business
SCDS (Sovereign Credit Default Swaps) are becoming more widely used as a country risk indicator after 2008 and stand out for providing real-time information rather than periodic reporting.
Letife Özdemir, Simon Grima, Ercan Özen, Ramona Rupeika-Apoga, Inna Romanova   +4 more
doaj   +3 more sources

An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility

Borsa Istanbul Review, 2018
In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey. Also, July 2016 coup attempt has been added to the model, to examine its impact on the volatility.
Samet Günay
openalex   +4 more sources

Discretely sampled variance and volatility swaps versus their continuous approximations [PDF]

Finance and Stochastics, 2012
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions under which this
Robert A. Jarrow, Younes Kchia, Martin Larsson, Philip Protter   +3 more
semanticscholar   +4 more sources

The validity of variance and volatility swaps [PDF]

Journal of Derivatives & Hedge Funds, 2007
Stephen Satchell
openalex   +3 more sources

Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering [PDF]

Mathematical Problems in Engineering, 2010
We consider a semi‐Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi‐Markov process. Two cases for semi‐Markov volatilities are studied: local current and local semi‐Markov volatilities.
Anatoliy Swishchuk, Raimondo Manca
openalex   +4 more sources

Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures

Borsa Istanbul Review, 2018
In this paper, the time-varying correlations are estimated for the purpose of examining whether CDS can act as a hedge and safe haven for the European stock sectors.
Rania Zghal, Ahmed Ghorbel, Mohamed Triki   +2 more
doaj   +2 more sources

Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities [PDF]

arXiv, 2012
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well.
Giovanni E. Salvi, Anatoliy Swishchuk
arxiv   +4 more sources