Vix Computation Based On Affine Stochastic Volatility Models In Discrete Time

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Vix Computation Based On Affine Stochastic Volatility Models In Discrete Time

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Author : Asmerilda Hitaj
language : en
Publisher:
Release Date : 2015

Vix Computation Based On Affine Stochastic Volatility Models In Discrete Time written by Asmerilda Hitaj and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time-varying higher moments observed in financial series. We build this class of models in order to reach two desirable results. Firstly, we have a recursive procedure for the characteristic function of the log price at maturity that allows a semi-analytical formula for option prices as in Heston and Nandi (2000). Secondly, we try to reproduce some features of the VIX Index. We derive a simple formula for the VIX index and use it for option pricing purposes.

Handbook Of Recent Advances In Commodity And Financial Modeling

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Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2017-09-30

Handbook Of Recent Advances In Commodity And Financial Modeling written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-30 with Business & Economics categories.

This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Pricing Models Of Volatility Products And Exotic Variance Derivatives

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Author : Yue Kuen Kwok
language : en
Publisher: CRC Press
Release Date : 2022-05-08

Pricing Models Of Volatility Products And Exotic Variance Derivatives written by Yue Kuen Kwok and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-08 with Business & Economics categories.

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

A New Class Of Discrete Time Stochastic Volatility Model With Correlated Errors

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Author : Sujay Mukhoti
language : en
Publisher:
Release Date : 2017

A New Class Of Discrete Time Stochastic Volatility Model With Correlated Errors written by Sujay Mukhoti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SVMs have been proposed to adequately capture the defining features of the relationship between the return and its volatility. Among one of the earliest SVM, Taylor (1982) proposed a hierarchical model, where the current return is a function of the current latent volatility, which is further modeled as an auto-regressive process. In an attempt to make the SVMs more appropriate for complex realistic market behavior, a leverage parameter was introduced in the Taylor's SVM, which however led to the violation of the efficient market hypothesis (EMH, a necessary mean-zero condition for the return distribution that prevents arbitrage possibilities). Subsequently, a host of alternative SVMs had been developed and are currently in use. In this paper, we propose mean-corrections for several generalizations of Taylor's SVM that capture the complex market behavior as well as satisfy EMH. We also establish a few theoretical results to characterize the key desirable features of these models, and present comparison with other popular competitors. Furthermore, four real-life examples (Oil price, CITI bank stock price, Euro-USD rate, and S&P 500 index returns) have been used to demonstrate the performance of this new class of SVMs.

Discrete Time Stochastic Volatility Model

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Author : Guojing Tang
language : en
Publisher:
Release Date : 2009

Discrete Time Stochastic Volatility Model written by Guojing Tang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

Double Gamma Stochastic Volatility Model In Discrete Time

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Author : Ali Hirsa
language : en
Publisher:
Release Date : 2017

Double Gamma Stochastic Volatility Model In Discrete Time written by Ali Hirsa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the characteristic function of the log swap rate under swap measure. Having the characteristic function, we employ the Fourier cosine (COS) technique to price swaptions. Using data on tweleve years of swap rates and swaption premiums, model parameters are estimated using an unscented Kalman filter algorithm.

Discrete Time Stochastic Volatility Models And Mcmc Based Statistical Inference

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Author : Nikolaus Hautsch
language : en
Publisher:
Release Date : 2008

Discrete Time Stochastic Volatility Models And Mcmc Based Statistical Inference written by Nikolaus Hautsch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

A Stochastic Volatility Model With Conditional Skewness

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Author : Bruno Feunou
language : en
Publisher:
Release Date : 2011

A Stochastic Volatility Model With Conditional Skewness written by Bruno Feunou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

A Stochastic Volatility Model With Realized Measures For Option Pricing

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Author : Giacomo Bormetti
language : en
Publisher:
Release Date : 2019

A Stochastic Volatility Model With Realized Measures For Option Pricing written by Giacomo Bormetti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 Index options.

Vix Derivatives Valuation And Estimation Based On Closed Form Series Expansions

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Author : Zhe Zhao
language : en
Publisher:
Release Date : 2018

Vix Derivatives Valuation And Estimation Based On Closed Form Series Expansions written by Zhe Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.