Results 41 to 50 of about 598,241 (259)
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility [PDF]
SIAM Journal on Financial Mathematics, 2021 In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise. To the best of our knowledge, our estimate is the first to derive the rigorous relationship between the zero vanna implied volatility and the ...
Kenichiro Shiraya +2 more
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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
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Pricing volatility derivatives under the modified constant elasticity of variance model [PDF]
, 2015 © 2015 Elsevier B.V. All rights reserved. This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant elasticity of variance model using the benchmark approach.
Chan, L, Platen, E
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Comparison of Model for Pricing Volatility Swaps [PDF]
SSRN Electronic Journal, 2013 The popularity of volatility derivatives has increased through these years of financial turmoil. In particular, variance and volatility swap seem interesting to analyse due to its growing trading volume. Hence, the aim of this work is to present a full revision of these two volatility derivatives, comparing pricing methodologies, like Taylor expansion ...
openaire +3 more sources
Option pricing models without probability: a rough paths approach [PDF]
, 2020 We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European ...
Armstrong, John +3 more
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Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model
Computation, 2022 Several financial instruments have been thoroughly calculated via the price of an underlying asset, which can be regarded as a solution of a stochastic differential equation (SDE), for example the moment swap and its exotic types that encourage investors
Kittisak Chumpong +1 more
doaj +1 more source
Unveiling trading patterns: iTraxx Europe financials from the great financial crisis to ECB monetary easing [PDF]
Banks and Bank Systems, 2022 Financial stability is a statutory concern of the European Central Bank. Spreads of bank credit default swaps (CDS) indices are a reference for financial stability, but the literature is scarce in this respect.
Maria Alberta Oliveira, Carlos Santos
doaj +1 more source
International Journal of Financial Studies, 2014 This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of ...
Paulo Pereira da Silva
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Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
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THE ASYMMETRICAL IMPACT OF POLICY RESPONSES ON VOLATILITY OF SOVEREIGN DEFAULT SWAPS [PDF]
Financial Studies, 2022 The COVID-19 pandemic has adversely influenced economies around the world through supply and demand channels. The increasing uncertainty and the decreasing demand due to the strict social measures of the government to cushion the spread of the pandemic ...
Deniz ERER
doaj