-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility …. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long … a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing …

equity indices (US, Japan, Europe, UK and Canada), and examine the historical performance of currency hedging strategies in …. Furthermore, we show that the risk reduction achieved historically by following an easily implementable dynamic currency hedging …-risk hedging strategies, we find that using certain hedging instruments can slightly reduce total portfolio returns. However, in …

strategy? Most studies identify four categories of tail risk management strategy: option-based hedging, asset allocation … and that define good tail risk management. Finally, we provide a comprehensive analysis of option-based tail hedging … strategies. The concepts of defensive, offensive, active and indirect tail hedging are discussed at length and examples of each …

-only portfolios 3) We study the cross-sectional volatility (CSV) of South African equity markets and show that it is a good measure of …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

process for creating a timed hedging strategy and then backtest how effective each of the proposed indicators are as hedge … timing signals under real world market conditions. A total of 36 hedge timing indicators are tested using five common hedging … structures. Detailed results and discussion are provided for each hedging structure. In general, the long-term timed hedge …

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

and most market makers have implemented their own proprietary skew generators. Clearing houses also use the volatility … surface in estimating the initial margins for options.In this paper we show how to generate the implied volatility surface by … fitting a quadratic deterministic function to implied volatility data from Alsi index options traded on Safex. This market is …

exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility …. By studying short-term changes in volatility dynamics, it is possible to identify the start and end dates of crisis … the volatility of rand returns between January 1994 and March 2009. Dummy variables controlling for the detected shifts in …