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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits

Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019

Persistent link: https://www.econbiz.de/10012157341

Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model

Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10012153037

Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets

Habtemicael, Semere; SenGupta, Indranil - In: Annals of financial economics 11 (2016) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011685720

Do central bank foreign exchange interventions affect market expectations?

Marins, Jaqueline Terra Moura; Araújo, Gustavo Silva; … - In: Applied economics 49 (2017) 31/33, pp. 3017-3031

Persistent link: https://www.econbiz.de/10011773166

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 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/10011855148

Bond variance risk premiums

Choi, Hoyong; Mueller, Philippe; Vedolin, Andrea - In: Review of finance : journal of the European Finance … 21 (2017) 3, pp. 987-1022

Persistent link: https://www.econbiz.de/10011803777

Real rate swaption and zero coupon inflation index swaption

Kamtchueng, Christian - In: International journal of bonds and derivatives 3 (2017) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10011807756

Accumulation of foreign currency reserves and risk-taking

Fatum, Rasmus; Yetman, James - 2018

Persistent link: https://www.econbiz.de/10011867341

Variance risk in commodity markets

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149

Persistent link: https://www.econbiz.de/10011816431

Efficient long-dated swaption volatility approximation in the forward-LIBOR model

Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011892565