Similar Search Results

Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692

Persistent link: https://www.econbiz.de/10014432924

The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10003647668

Simple Variance Swaps

Martin, Ian - 2011

the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …

Persistent link: https://www.econbiz.de/10012461773

An Empirical Analysis of the Swaption Cube

Trolle, Anders B. - 2010

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

Persistent link: https://www.econbiz.de/10012462108

Forecasting variance swap payoffs

Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164

Persistent link: https://www.econbiz.de/10013465873

Forecasting swap rate volatility with information from swaptions

Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479

Persistent link: https://www.econbiz.de/10014293114

Time varying price discovery

Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21

Persistent link: https://www.econbiz.de/10011376376

Investor sentiment and credit default swap spreads during the global financial crisis

Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688

Persistent link: https://www.econbiz.de/10011950863

Macroeconomic conditions and credit default swap spread changes

Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802

Persistent link: https://www.econbiz.de/10011950882

A joint analysis of the term structure of credit default swap spreads and the implied volatility surface

Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517

Persistent link: https://www.econbiz.de/10009756569