Results 71 to 80 of about 598,241 (259)
HEDGING BY USING WEATHER DERIVATES IN WINTER SKI TOURISM
Ekonomika Poljoprivrede (1979), 2018 Tourism, as one of the main driving forces of economic development, is exposed to many risks. Besides frequent fluctuations in foreign currency exchange, prices of fuel and transportation, the tourism industry has become more sensitive to weather ...
Bojan S. Đorđević
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Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
, 2009 In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, 2005) [19] [20] and Brigo and Morini (2006)[15].
Brigo, Damiano +2 more
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Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey
SAGE OpenUnderstanding which factors influence exchange rate movements is important for understanding economic development, trade patterns, investment decisions, and for designing economic policies.
Ata Ozkaya, Omer Altun
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Premio por riesgo de liquidez en el mercado interbancario, para un grupo de economías emergentes
Estudios de Administración, 2012 This article studies the behavior of liquidity premia with data from interbank deposits and swaps, for the period june 2006 to october 2009, thus including the financial crisis.
Jorge Gregoire C., Claudio Ortiz J.
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Moment Methods for Exotic Volatility Derivatives [PDF]
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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Taking advantage of credit default swaps in European markets [PDF]
, 2012 Credit default swaps are the leading indicators in bond and equity markets. The movement of credit default swaps can explain sovereign bond and equity market movements in distressed countries.
Kosmitis, Phillip
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Normalization for Implied Volatility [PDF]
arXiv, 2010 We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given.
arxiv
Forward Volatility Contract Pricing in the Brazilian Market
Revista Brasileira de Finanças, 2004 In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime ...
Sandro Magalhães Manteiga +2 more
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Analysis of Lithuanian credit default swaps
Journal of Business Economics and Management, 2015 This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market.
Arvydas Kregzde, Gediminas Murauskas
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Volatility Transmission acros the Term Structure of Swap Markets: International Evidence [PDF]
We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)Interest rate swaps, Term structure of interest rates, Autoregressive conditional heteroscedstic ...
Alfonso Novales, Pilar Abad
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