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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives

Zarov, Iliyan Radev - 2012

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

Persistent link: https://www.econbiz.de/10013113731

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

Persistent link: https://www.econbiz.de/10011751173

Pricing interest rate derivatives under volatility uncertainty

Holzermann, Julian - 2020

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion, which drives the forward rate dynamics. The absence...

Persistent link: https://www.econbiz.de/10012175590

Pricing of Catastrophe Risk and the Implied Volatility Smile

Ben Ammar, Semir - 2016

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

Persistent link: https://www.econbiz.de/10012984717

The Pricing of Jump and Diffusive Risks in the Cross-Section of Cryptocurrency Returns

Leong, Minhao; Kwok, Simon Sai Man - 2022

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

Persistent link: https://www.econbiz.de/10013293621

Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10009624466

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation

Žmuk, Berislav; Kovač, Matej - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 27-42

An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially …

Persistent link: https://www.econbiz.de/10012264990

A stochastic volatility model for the valuation of temperature derivatives

Alfonsi, Aurélien; Vadillo, Nerea - In: IMA journal of management mathematics 35 (2024) 4, pp. 737-785

Persistent link: https://www.econbiz.de/10015333096

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...

Izmailov, Alexander - 2015

reliably characterize any random variable (in our case derivative) with just its first moment. • This lack of attention to … derivatives, as understood in the present literature, is very indirectly related to risk of capital loss; it simply takes account …

Persistent link: https://www.econbiz.de/10013032725