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Search: subject:"Variance Swaps"
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Subject
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Volatility
47
Volatilität
47
Swap
43
Variance swaps
33
Option pricing theory
30
Optionspreistheorie
30
variance swaps
26
Stochastic process
22
Stochastischer Prozess
22
Risikoprämie
15
Risk premium
15
Analysis of variance
14
Option trading
14
Optionsgeschäft
14
Varianzanalyse
14
Derivat
12
Derivative
12
Portfolio selection
11
Portfolio-Management
11
Yield curve
10
Zinsstruktur
10
Forecasting model
9
Prognoseverfahren
9
Markov chain
7
Markov-Kette
7
Theorie
7
Theory
7
VIX index
7
Variance risk premium
7
Börsenkurs
6
Predictability
6
Share price
6
Stochastic volatility
6
VIX futures
6
Volatility trading
6
volatility swaps
6
ARCH model
5
ARCH-Modell
5
Aktienindex
5
Economic conditions
5
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Undetermined
40
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20
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2
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Article
55
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17
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38
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English
53
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19
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Konstantinidi, Eirini
6
Skiadopoulos, George
6
Mele, Antonio
5
Obayashi, Yoshiki
5
Van Tassel, Peter
4
Cui, Zhenyu
3
Gruber, Peter H.
3
Amengual, Dante
2
Carr, Peter
2
Chiarella, Carl
2
Drimus, Gabriel
2
He, Xin-Jiang
2
Johnson, Travis L.
2
Kalev, Petko S.
2
Kirkby, J. Lars
2
Kwok, Yue-Kuen
2
Lian, Guanghua
2
Shalen, Catherine T.
2
Stahl, Philip
2
Sviščuk, Anatolij
2
Tebaldi, Claudio
2
Trojani, Fabio
2
Wang, Ke
2
Wese Simen, Chardin
2
Xiu, Dacheng
2
Zheng, Wendong
2
Albanese, Claudio
1
Andrikopoulos, Alexandru
1
Aït-Sahalia, Yacine
1
BROADIE, MARK
1
Badescu, Alexandru
1
Bo, Lijun
1
Buehler, Hans
1
Cayetano, Gea
1
Chan, Leunglung
1
Chen, Yuyu
1
Couch, Matthew
1
Dark, Jonathan
1
Deryabin, Mikhail
1
Elliott, Robert
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
School of Economics and Finance, Queen Mary
1
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International Journal of Theoretical and Applied Finance (IJTAF)
6
International journal of theoretical and applied finance
6
Finance and Stochastics
4
Journal of banking & finance
4
Journal of econometrics
4
The journal of computational finance
4
MPRA Paper
3
Review of Derivatives Research
3
Journal of economic dynamics & control
2
Research paper series / Swiss Finance Institute
2
Staff reports / Federal Reserve Bank of New York
2
Application of operations research to financial markets
1
Applied Mathematical Finance
1
Applied mathematical finance
1
Computational economics
1
Discussion papers / CEPR
1
European journal of operational research : EJOR
1
Financial innovation : FIN
1
International journal of financial engineering
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of Banking & Finance
1
Journal of Economic Dynamics and Control
1
Journal of financial and quantitative analysis : JFQA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Manchester Business School Working Paper
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
1
Quantitative finance
1
Review of derivatives research
1
Risks : open access journal
1
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1
Staff Reports
1
Swiss Finance Institute Research Paper
1
The North American journal of economics and finance : a journal of financial economics studies
1
The North American journal of economics and finance : a journal of theory and practice
1
The journal of futures markets
1
Working Paper
1
Working Papers / School of Economics and Finance, Queen Mary
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ECONIS (ZBW)
48
RePEc
19
EconStor
5
Showing
11
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20
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72
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11
Credit volatility indexes
Mele, Antonio
;
Obayashi, Yoshiki
-
2020
-
This version: October 19, 2020
Persistent link: https://www.econbiz.de/10012419450
Saved in:
12
The law of one price in equity volatility markets
Van Tassel, Peter
-
2020
This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...
Persistent link: https://www.econbiz.de/10012391498
Saved in:
13
Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter
-
2018
, and products, including
variance
swaps
, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of
variance
swaps
and VIX futures. While tightly linked, VIX futures exhibit deviations of varying …
Persistent link: https://www.econbiz.de/10012144710
Saved in:
14
Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter
-
2018
, and products, including
variance
swaps
, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of
variance
swaps
and VIX futures. While tightly linked, VIX futures exhibit deviations of varying …
Persistent link: https://www.econbiz.de/10011904683
Saved in:
15
Risk Premia and the VIX Term Structure
Johnson, Travis L.
-
2018
information, predicting the excess returns of S&P 500
variance
swaps
, VIX futures, and S&P 500 straddles for all maturities and to …
Persistent link: https://www.econbiz.de/10012937549
Saved in:
16
The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
67
(
2021
)
7
,
pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
Saved in:
17
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
18
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Shoshi, Humayra
;
SenGupta, Indranil
- In:
International journal of financial engineering
8
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012815115
Saved in:
19
A closed-form exact solution for pricing fixed-income
variance
swaps
with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
20
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
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