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The Transmission of Swap Spreads and Volatilities in the International Swap Markets
SSRN Electronic Journal, 2002We investigate the Japanese yen and U.S. dollar interest rate swap markets during the period 1990-2000, by examining the spreads of the swap rates over comparable treasury yields (on Japanese Government Bonds (JGBs) and U.S. Treasury bonds, respectively) for different maturities.
Young Ho Eom +2 more
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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
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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
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Journal of Corporate Finance, 2019
We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility.
Santiago Forte, Lidija Lovreta
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We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility.
Santiago Forte, Lidija Lovreta
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AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS [PDF]
International Journal of Theoretical and Applied Finance, 2012 In this paper we propose a diffusion model relating the stock price dynamics to the CDS spread dynamics of a company by assuming a linear relationship between instantaneous stock volatility and CDS spread. To value contingent claims under this model we apply a finite elements discretization to the associated pricing partial differential equation.
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On the valuation of variance swaps with stochastic volatility
Applied Mathematics and Computation, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhu, Song-Ping, Lian, Guang-Hua
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A Note on Volatility Swaps Pricing in Normal Stochastic Volatility Models
SSRN Electronic Journal, 2020It is well-known that in normal stochastic volatility models with zero correlation the fresh volatility swap price is exactly equal to the at-the-money implied volatility. To replicate a volatility swap, however, the price of a volatility swap at inception is insufficient. Its price throughout its life must be calculated.
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Jump-diffusion volatility models for variance swaps: An empirical performance analysis
International Review of Financial Analysis, 2023Yi Hong, Xing Jin
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Identifying Term Structure Volatility from the LIBOR-swap Curve
SSRN Electronic Journal, 2004This paper proposes a new family of specification tests and applies them to affine term structure models of the London Interbank Offered Rate (LIBOR)-swap curve. Contrary to Dai and Singleton (2000), the tests show that when standard estimation techniques are used, affine models do a poor job of forecasting volatility at the short end of the term ...
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Variance and volatility swaps valuations with the stochastic liquidity risk
, 2020De-xuan Xu +3 more
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