Search Results - subject:"Variance swap"

Credit variance risk premiums

Ammann, Manuel; Mörke, Mathis - In: European financial management : the journal of the … 29 (2023) 4, pp. 1304-1335

Persistent link: https://www.econbiz.de/10014369332

Decomposing the VIX index into greed and fear

Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021

Persistent link: https://www.econbiz.de/10012609583

Decomposing the VIX index into greed and fear

Serur, Juan Andrés; Dapena, José P.; Siri, Julián R. - 2021

Persistent link: https://www.econbiz.de/10012491391

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks 8 (2020) 3, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10013200603

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

Persistent link: https://www.econbiz.de/10012293125

Credit variance risk premiums

Ammann, Manuel; Mörke, Mathis - 2019 - This version: June 4, 2019

Persistent link: https://www.econbiz.de/10012050931

Volatility investing with variance swaps

Härdle, Wolfgang Karl; Silyakova, Elena - 2010

Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...

Persistent link: https://www.econbiz.de/10010319195

Volatility Investing with Variance Swaps

Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008476280

Variance swap replication: Discrete or continuous?

Le Floc'h, Fabien - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10012610999

The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …

Persistent link: https://www.econbiz.de/10011899885