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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere; SenGupta, Indranil - In: International journal of financial engineering 3 (2016) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10011673089
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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
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Essays on variance risk
Gruber, Peter H. - 2015
effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …
Persistent link: https://www.econbiz.de/10011931531
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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...
Persistent link: https://www.econbiz.de/10013441427
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …
Persistent link: https://www.econbiz.de/10010472852
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Random Geometric Analysis in the Stochastic Volatility : Financial Markets States Degeneracy
Chule, Siyabonga - 2017
The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...
Persistent link: https://www.econbiz.de/10012956358
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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535