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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …
Persistent link: https://www.econbiz.de/10013133913
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … spreads. The model matches the widespread volatility smirk in index options as well as the first two moments of government …
Persistent link: https://www.econbiz.de/10013109094
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Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Dang, Duy-Minh - 2010
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...
Persistent link: https://www.econbiz.de/10013150451
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://www.econbiz.de/10013292792
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Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets
Benth, Fred Espen - 2014
cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility … spread option prices is shown to hold, with an explicit plug-in volatility. We present several numerical examples showing …
Persistent link: https://www.econbiz.de/10013044930
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Path-Dependent Multicurrency Interest Rate Derivatives
Chu, Meifang - 2014
from the market data, one can easily calibrate the volatility surface to match the vanilla options …
Persistent link: https://www.econbiz.de/10013042926
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A New Look at Copper Markets : A Regime-Switching Jump Model
Chan, Wing H. - 2009
GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both ‘bear' and ‘bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...
Persistent link: https://www.econbiz.de/10013158086
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An Empirical Study of the Dynamics of Implied Volatility Indices : International Evidence
Huskaj, Bujar - 2015
volatility indices. The models include linear, quadratic and nonlinear drift specifications with affine, constant elasticity of …
Persistent link: https://www.econbiz.de/10013023052
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Market Interaction in Returns and Volatilities between Spot and Forward Shipping Freight Markets
Visvikis, Ilias; Kavussanos, Manolis G. - 2014
The lead-lag relationship in both returns and volatilities between spot and futures markets has been investigated extensively in the financial economics literature. Only a limited number of such studies have appeared on forward markets, primarily due to the lack of easy access to empirical data....
Persistent link: https://www.econbiz.de/10014206215
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The Implied Volatility Term Structure of Stock Index Options
Mixon, Scott - 2011
This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …
Persistent link: https://www.econbiz.de/10013127950