A Proposal for Multi-asset Generalised Variance Swaps

Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model

This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for Barndorff-Nielsen and Shephard model used in financial markets. We consider multiple assets in the portfolio for theoretical purpose and demonstrate our approach with numerical examples taking three stocks in the portfolio. The results obtained in this paper have important implications for the commodity sector where such swaps would be useful for hedging risk.

多资产随机波动率模型的方差互换定价

Pricing Generalized Dispersion Swap for Multi-Asset Stochastic Volatility Models

本文通过基于行列式的瞬时广义方差，为多资产随机波动率模型建立了方差互换定价框架，并在Heston和BNS模型下推导出解析定价表达式，数值实验验证了模型的有效性。

Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models

In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation technique and Laplace transform method to evaluate volatility strikes and estimate VIX future prices. In empirical study, we use Markov chain Monte Carlo algorithm for model calibration based on S&P 500 historical data, evaluate the effect of adding jumps into asset price processes on volatility derivatives pricing, and compare the performance of different …

交叉货币股票保护掉期的定价与对冲策略

Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps

本文探讨了交叉货币参考组合的股票保护掉期的定价与对冲策略，分析了不同对冲方法及跨货币总回报的对冲策略，通过数值研究评估了对冲成本与绩效指标，为国际市场的股票保护掉期提供实践参考。

Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that the protection buyer pays premium at fixed rate when the asset price is above a pre-specified level and continuously pays whenever the price increases. This payment scheme is in favour of the buyer as she only pays the premium when the market is in good condition for the protection against financial downturn. Under this framework, we look at an embedded optio…

Nonparametric Pricing and Hedging of Volatility Swaps in Stochastic Volatility Models

In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with weights that are directly related to trading intuition. Additionally, we derive first and second order hedges for volatility swaps using only variance swaps. As dynamically trading variance swaps is in general cheaper and operationally less cumbersome compared to dynamically rebalancing a continuous strip of options, our result makes the hedging of volat…