Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps [PDF]
International Journal of Stochastic Analysis, 2011 We study the valuation of the variance swaps under stochastic volatility with delay and jumps. In our model, the volatility of the underlying stock price process not only incorporates jumps, which are found to be active empirically, but also exhibits past dependence: the behavior of a stock price right after a given time t depends not only on the ...
Swishchuk, Anatoliy, Xu, Li
openaire +3 more sources
Hedging under rough volatility [PDF]
arXiv, 2021 In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be perfectly hedged with a dynamic portfolio containing the underlying and one other asset such as a variance swap.
arxiv
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
Risks, 2019 This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as ...
Man Chung Fung +2 more
doaj +1 more source
Towards faster settlement in HTLC-based Cross-Chain Atomic Swaps [PDF]
arXiv, 2022 Hashed Timelock (HTLC)-based atomic swap protocols enable the exchange of coins between two or more parties without relying on a trusted entity. This protocol is like the American call option without premium. It allows the finalization of a deal within a certain period.
arxiv
Inter-Dealer OTC E-markets [PDF]
Informatică economică, 2012 The global OTC markets have been very active in the past decade as many institutions have chosen to rely on growth in the OTC issuance to facilitate deal-making outside of the exchange regulated avenues.
Iosif ZIMAN
doaj
Analysis of Currency Risk Hedging Strategies in Multinational Companies: A Case Study of the 2022 Russo-Ukrainian War and Surge in US Dollar Exchange Rate [PDF]
SHS Web of ConferencesThe volatility of exchange rates due to frequent global events is one of today’s hot topics. The profitability of large multinational corporations is highly correlated with exchange rates. This paper primarily takes a case study approach, focusing on the
Huang Yikai
doaj +1 more source
The Rise and Fall of S&P500 Variance Futures [PDF]
Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and ...
Chia-Lin Chang +3 more
core +3 more sources
On the difference between the volatility swap strike and the zero vanna implied volatility [PDF]
arXiv, 2019 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 ...
arxiv
Sovereign CDS contagion in the European Union: a multivariate GARCH-in-variables analysis of volatility spill-overs [PDF]
, 2014 GARCH-with-variables model is used to assess volatility contagion in the Eurozone Debt Crisis. Credit Default Swaps on sovereign debt with 3 years maturity are used as a reference financial instrument, covering the sample period from 2008-2013.
Oliveira, Maria Alberta, Santos, Carlos
core +2 more sources
Price discovery and volatility spillovers in the interest rate derivatives market
Humanities & Social Sciences CommunicationsThe interest rate derivatives market is an important force in promoting the development of the bond market and is an effective tool to manage interest rate risk.
Congxiao Chen +5 more
doaj +1 more source