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VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING
International Journal of Theoretical and Applied Finance, 2019 In this paper, the pricing problem of variance and volatility swaps is discussed under a two-factor stochastic volatility model. This model can be treated as a two-factor Heston model with one factor following the CIR process and another characterized by
Xin‐Jiang He, Song‐Ping Zhu
semanticscholar +1 more source
Improving Quality of Long-Term Bond Price Prediction Using Artificial Neural Networks
Kvalita Inovácia Prosperita, 2021 Purpose: The aim of this paper is to propose nonlinear autoregressive neural network which can improve quality of bond price forecasting. Methodology/Approach: Due to the complex nature of market information that influence bonds, artificial ...
Robert Verner +2 more
doaj +1 more source
Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]
arXiv, 2022 In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv
On the volatility of volatility [PDF]
, 2006 The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility
Black +3 more
core +2 more sources
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models
SSRN Electronic Journal, 2023 Revision of section on hedging volatility ...
openaire +2 more sources
Spectral methods for volatility derivatives [PDF]
, 2009 In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX).
Albanese, Claudio +2 more
core +2 more sources
Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models [PDF]
arXiv, 2020 In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition.
arxiv
Assessment of an Exchange Rate’s Fluctuations Impact on the Foreign Exchange Market
Journal of Vasyl Stefanyk Precarpathian National University, 2022 The article analyzes the foreign exchange market functioning under the influence of exchange rate fluctuations. The main factors determining the exchange rate in the existing conditions have been determined.
Tetiana Solodzhuk, Tetiana Myhovych
doaj +1 more source
Foreign Exchange Risk in International Transactions [PDF]
Theoretical and Applied Economics, 2007 Every international business is affected by the ever-changing value of the currencies implied in contracts. While many of us consider this unpredictability a nuisance, the volatility of currencies around the world can mean the difference between success ...
Florentina-Olivia Balu, Daniel Armeanu
doaj +1 more source
Pricing Volatility Referenced Assets
Revista Brasileira de Finanças, 2006 Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility.
Alan De Genaro Dario
doaj