Narrow search
Showing 1 - 10 of 607,123
Cover Image
Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …
Persistent link: https://www.econbiz.de/10010410031
Cover Image
Volatility Investing with Variance Swaps
Härdle, Wolfgang K. - 2017
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...
Persistent link: https://www.econbiz.de/10012966298
Cover Image
Statistical Modeling of Credit Default Swap Portfolios
Cont, Rama - 2011
We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...
Persistent link: https://www.econbiz.de/10013129079
Cover Image
Hedging with Portfolio of Bonds and Swaps Under the G2 Model
JAFFAL, hanan - 2016
analytic expressions for the price sensitivities of zero-coupon bonds, coupon-bearing bonds and interest rate swap contracts …
Persistent link: https://www.econbiz.de/10012989150
Cover Image
Mean Swap Variance, Portfolio Thoery and Asset Pricing
Chow, Victor - 2018
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 … the classical MV portfolio theory and the CAPM, is consistent with expected utility maximization for all risk …
Persistent link: https://www.econbiz.de/10012934044
Cover Image
Investment and Asset Securitization With an Option-for-Guarantee Swap
Yang, Zhaojun - 2019
This paper addresses the investment and financing decisions of entrepreneurs entering into option-for-guarantee swaps (OGSs). OGSs significantly increase investment option value. Entrepreneurs initially accelerate their investments and then postpone them as funding gaps grow. Guarantee costs...
Persistent link: https://www.econbiz.de/10012902461
Cover Image
Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option
Eberlein, Ernst; Madan, Dilip B. - 2010
When firms access unbounded liability exposures and are granted limited liability, then an all equity firm holds a call option, whereby it receives a free option to put losses back to the taxpayers. We call this option the taxpayer put, where the strike is the negative of the level of reserve...
Persistent link: https://www.econbiz.de/10014198745
Cover Image
Predictability Puzzles
Eraker, Bjorn - 2020
Dynamic equilibrium models based on present value computation imply that returns are predictable but also generate particular patterns of predictability in asset returns. I take advantage of this to construct a set of tests of Equilibrium Generated Predictability (EGP). I apply the tests to...
Persistent link: https://www.econbiz.de/10012831389
Cover Image
The 4/2 Stochastic Volatility Model
Grasselli, Martino - 2016
efficient pricing procedure. This called for using the Lie symmetries theory for PDEs; doing so allowed us to extend known …
Persistent link: https://www.econbiz.de/10013005668
Cover Image
Stochastic Skew and Target Volatility Options
Grasselli, Martino - 2015
Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. For instance, a target volatility call can be...
Persistent link: https://www.econbiz.de/10013033877