Similar Search Results

Da Fonseca, José - 2011

Using a data set of vanilla options on the major indexes we investigate the calibration properties of several … Fonseca et al. (2007b), which provides a natural framework for pricing basket options while keeping the stylized smile … basket options …

Persistent link: https://www.econbiz.de/10013133070

A Flexible Matrix Libor Model with Smiles

Gnoatto, Alessandro - 2012

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then...

Persistent link: https://www.econbiz.de/10013108748

Option Pricing When Correlations are Stochastic : An Analytical Framework

Da Fonseca, José - 2007

.Quite remarkably, the model provides prices of vanilla options consistent with the smile and skew effects observed, while making … possible to detect and quantify the correlation risk in multiple asset derivatives like basket options. In particular it can … analytical tractability providing explicit pricing formulas for rainbow Best-of options …

Persistent link: https://www.econbiz.de/10012730222

Dynamics of Implied Volatility Surfaces

Cont, Rama - 2002

The prices of index options at a given date are usually represented via the corresponding implied volatility surface …

Persistent link: https://www.econbiz.de/10012787385

On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

Da Fonseca, José - 2018

This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamic or a Wishart affine stochastic correlation dynamic when the parameter values satisfy certain constraints. By reformulating the stock dynamic in terms of the...

Persistent link: https://www.econbiz.de/10012936555

Variance and Skew Risk Premiums for the Volatility Market : The VIX Evidence

Da Fonseca, José - 2017

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the...

Persistent link: https://www.econbiz.de/10012968712

Valuing Variable Annuity Guarantees on Multiple Assets

Ziveyi, Jonathan - 2015

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the...

Persistent link: https://www.econbiz.de/10013011325

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

Da Fonseca, José - 2015

This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the...

Persistent link: https://www.econbiz.de/10013026577

Jump Activity Analysis for Affine Jump-Diffusion Models : Evidences from the Commodity Market

Da Fonseca, José - 2016

The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the market, is an affine function of the instantaneous...

Persistent link: https://www.econbiz.de/10012993290

Semivariance and Semiskew Risk Premiums in Currency Markets

Da Fonseca, José - 2018

options for several foreign exchange rates. Moreover, these variables are decomposed into semivariance and semiskew swaps …

Persistent link: https://www.econbiz.de/10012929214