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VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of risk and financial management : JRFM 12 (2019) 3/113, pp. 1-9

information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility … that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …

Persistent link: https://www.econbiz.de/10012025298

Bond risk premia and restrictions on risk prices

Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22

Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...

Persistent link: https://www.econbiz.de/10011961381

The equity curve and its relation to future stock returns

Stotz, Olaf - In: Journal of risk and financial management : JRFM 13 (2020) 2/19, pp. 1-16

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...

Persistent link: https://www.econbiz.de/10012173992

Autoencoder-based three-factor model for the yield curve of Japanese government bonds and a trading strategy

Suimon, Yoshiyuki; Sakaji, Hiroki; Izumi, Kiyoshi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/82, pp. 1-21

combines government bond interest rates by maturity, fluctuates to reflect various macroeconomic factors. Central bank monetary …

Persistent link: https://www.econbiz.de/10012302728

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Persistent link: https://www.econbiz.de/10012309311

Implied and local volatility surfaces for South African index and foreign exchange options

Kotzé, Antonie; Oosthuizen, Rudolf; Pindza, Edson - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 43-82

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most … exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local …

Persistent link: https://www.econbiz.de/10011552872

Quanto pricing beyond Black-Scholes

Fink, Holger Maria; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-27

, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of …

Persistent link: https://www.econbiz.de/10012520134

The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model

Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18

options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this … volatility 'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the volatility 'smile' appears not to exist in the TLT option data. We provide …

Persistent link: https://www.econbiz.de/10013273577

Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines

Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/65, pp. 1-14

The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...

Persistent link: https://www.econbiz.de/10012302519

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