On the harmonic mean representation of the implied volatility [PDF]
arXiv, 2020 It is well know that, in the short maturity limit, the implied volatility approaches the integral harmonic mean of the local volatility with respect to log-strike, see [Berestycki et al., Asymptotics and calibration of local volatility models, Quantitative Finance, 2, 2002].
arxiv
Credit Spread Modeling: Macro-financial versus HOC Approach
Economic Analysis, 2014 The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution.
Sanja Dudaković
doaj
COMPARATIVE ANALYSIS OF STRATEGIES FOR HEDGING A SECURITIES PORTFOLIO WITH FUTURES
Финансы: теория и практика, 2017 Hedging is one of the most popular strategies of the market risk management. The main purpose of hedging is to reduce the volatility (or variability) of the yield on the portfolio composed of spot assets and hedging tools.
V. V. Lakshina, K. A. Lapshina
doaj +1 more source
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity [PDF]
arXiv, 2018 In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtained to derive the joint moment generating function of the previous model.
arxiv
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching [PDF]
arXiv, 2016 In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a ...
arxiv
A New Default Intensity Model with Fuzziness and Hesitation
International Journal of Computational Intelligence Systems, 2016 With the increased financial market volatility, corporate defaults will suffer from the double impact of the external shocks and internal contagion effects.
Liang Wu, Ya-ming Zhuang, Wen Li
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The Market of Foreign Exchange Hedge in Brazil: Reactions of Financial Institutions to Interventions of the Central Bank [PDF]
Between 1999 and 2002, Brazil's Central Bank sold expressive amounts of dollar indexed debt and foreign exchange swaps. This paper shows that in periods of high volatility of the exchange rate, first semester of 1999 and second semester of 2002, the ...
Fernando N. de Oliveira, Walter Novaes
core
The Hazards of Propping Up: Bubbles and Chaos [PDF]
, 2009 In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization.
Maymin, Philip
core +1 more source
Hedging Currency Risks? An Evaluation of SMEs in Northern Germany
European Journal of Business Science and Technology, 2019 One of the important issues for companies is liquidity from domestic and foreign trade. The market is classically defined by the number of available markets.
Jan Christoph Neumann
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Hedging by using weather derivatives in winter ski tourism [PDF]
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 ...
Đorđević Bojan S.
doaj