Results 21 to 30 of about 616,096 (355)
Pricing of Pseudo-Swaps Based on Pseudo-Statistics
Risks, 2023 The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities.
Sebastian Franco, Anatoliy Swishchuk
doaj +1 more source
A Volatility Swap for Each Season
SSRN Electronic Journal, 2019 Frido Rolloos
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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. It happened due to emergence of a market for new derivative instruments - variance swaps.
Wolfgang Karl Härdle, Elena Silyakova
openaire +3 more sources
The validity of variance and volatility swaps [PDF]
Journal of Derivatives & Hedge Funds, 2007 Stephen Satchell
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Brexit and CDS spillovers across UK and Europe [PDF]
The European Journal of Comparative Economics, 2019 The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps (CDSs) exhibit explosivity with respect to their past behaviors.
Jamal Bouoiyour, Refk Selmi
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Journal of Financial Management, Markets and Institutions, 2021 Based on daily data from Thomson Reuter’s Refinitiv, we investigate the effect of information and communication technology (ICT) on the profitability and risk of the European banking industry during the COVID-19 pandemic.
ANTONELLA FRANCESCA CICCHIELLO +3 more
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Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada
Risks, 2023 This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil ...
Anatoliy Swishchuk
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Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index
SEISENSE Journal of Management, 2020 Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index) Design/ Methodology- To achieve this purpose, daily data containing 2870 ...
Ramzan Ali +4 more
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Moment Methods for Exotic Volatility Derivatives [PDF]
, 2007 The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process.
Albanese, Claudio, Osseiran, Adel
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On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
core +2 more sources