Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is … unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap … volatility and a proxy of asymmetric variation (A). The mean-variance-asymmetry (MVA) analysis, a three-dimensional extension of …

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no … volatilities can also be constructed specific to, and different across, option contracts. Applying the new theory to the S&P 500 … index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model … in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …

uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a … downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset …