Search results for "Volatility swap"

showing 3 items of 23 documents

Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

2013

In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.

TheoryofComputation_MISCELLANEOUSspread optionStatistics and Probability15A04Computer Science::Computer Science and Game TheoryFinancial economicsNormal backwardationImplied volatility01 natural sciences010104 statistics & probabilityEnergy marketVolatility swap0502 economics and businessEconometricsForward volatilitystochastic volatility0101 mathematicsMathematics050208 financeStochastic volatilityApplied Mathematics05 social sciencesContangosubordinatorforward pricing91G20Forward priceVolatility smile60H3060G1060G51Advances in Applied Probability
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Volatility transmission in the CO<inf>2</inf> and energy markets

2009

The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO 2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those mar…

chemistry.chemical_compoundchemistryFinancial economicsGreenhouse gasVolatility swapEconomicsVolatility smilePetroleumEuropean Union Emission Trading SchemeVolatility (finance)Volatility transmissionVolatility risk premium2009 6th International Conference on the European Energy Market
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Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering

2013

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …

financial instruments and regulation socio-economic networks stochastic processes clustering techniquesVolatility clusteringStochastic volatilityFinancial models with long-tailed distributions and volatility clusteringVolatility swapForward volatilityEconometricsVolatility smileEconomicsImplied volatilityVolatility risk premiumSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)SSRN Electronic Journal
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