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Author : Elizaveta Krylova
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (18 download)
Download or read book Cross-dynamics of Volatility Term Structure Implied by Foreign Exchange Options written by Elizaveta Krylova and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elizaveta Krylova
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (637 download)
Download or read book Cross-dynamics of Volatility Term Structure Implied by Foreign Exchange Options written by Elizaveta Krylova and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arnaud Wolf
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (113 download)
Download or read book Dynamics of the Implied Volatility Term Structure written by Arnaud Wolf and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jim Campasano
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book Understanding and Trading the Term Structure of Volatility written by Jim Campasano and published by . This book was released on 2017 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extensively study the term structure of volatility in individual equity options. We begin by studying the behavior of implied volatility in the cross section. We examine the joint dynamics of short maturity and long maturity implied volatility in order to gain a thorough understanding of how volatility term structure evolves. We uncover a number of stylized facts which, to the best of our knowledge, we are the first to empirically document. We then propose a simple framework of term structure dynamics that captures the features documented in our empirical study. This simple framework is illustrative and gives an intuitive way to understand the dynamics of the volatility term structure seen in the cross section. Using the intuition gleaned from our analysis, we examine strategies for trading volatility. Consistent with the term structure dynamics, we uncover a number of profitable volatility trading strategies across maturities. We further examine the extent to which profitability of these trading strategies is due to an interaction between volatility term structure and realized volatility.
Author : José Manuel Campa
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (784 download)
Download or read book Testing the Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options /by José Manuel Campa and P.H. Kevin Chang written by José Manuel Campa and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Chalamandaris
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book How Important is the Term Structure in Implied Volatility Surface Modeling? Evidence from Foreign Exchange Options written by George Chalamandaris and published by . This book was released on 2013 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We claim that previously proposed parametric specifications that linearly approximate the term structure of the implied volatility surface (IVS) in option prices fail to capture important information regarding the expectations of market participants. This paper proposes a parametric specification for describing the IVS that allows flexible modeling of the term structure through a Nelson and Siegel (1987) factorization, recently proposed by Diebold and Li (2006) in the context of yield curve modeling. The specification is tested on implied volatilities from the overndash;thendash;counter foreign exchange options market, where contracts with long expiries are actively traded and thus the term structure dimension of the surface should be very important. We first show that the proposed volatility specification can consistently and remarkably improve our ability to describe the surface on any given day. We then establish the economic relevance of the incremental information captured by our proposed specification by showing that it can produce more accurate forecasts of implied volatility that can support longndash;term profitable trading strategies in the absence of transaction costs.
Author : Marco Avellaneda
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book An E-Arch Model for the Term Structure of Implied Volatility of FX Options written by Marco Avellaneda and published by . This book was released on 1997 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a statistical model for term-structure of implied volatilities of currency options based on daily historical data for 13 currency pairs in a 19-month period. We examine the joint evolution of 1 month, 2 month, 3 month, 6 month and 1 year 50-delta options in all the currency pairs. We show that there exist three uncorrelated state variables (principal components) which account for the parallel movement, slope oscillation, and curvature of the term structure and which explain, on average, the movements of the term-structure of volatility to more than 95% in all cases. We test and construct an exponential ARCH, or E-ARCH, model for each state variable. One of the applications of this model is to produce confidence bands for the term- structure of volatility.
Author : José Campa
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (35 download)
Download or read book Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options written by José Campa and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kin Keung Lai
Publisher : Routledge
ISBN 13 : 1135006989
Total Pages : 113 pages
Book Rating : 4.1/5 (35 download)
Download or read book Volatility Surface and Term Structure written by Kin Keung Lai and published by Routledge. This book was released on 2013-09-11 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Author : Soku Byoun
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Expectations Hypothesis of the Term Structure of Implied Volatility written by Soku Byoun and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a stochastic volatility option pricing model, we show that the implied volatilities of at-the-money options are not necessarily unbiased and that the fixed interval time-series can produce misleading results. Our results do not support the expectations hypothesis: long-term volatilities rise relative to short-term volatilities, but the increases are not matched as predicted by the expectations hypothesis. In addition, an increase in the current long-term volatility relative to the current short-term volatility is followed by a subsequent decline. The results are similar for both foreign currency and the Samp;P 500 stock index options.
Author : Jim Campasano
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)
Download or read book Term Structure Forecasts of Volatility and Option Portfolio Returns written by Jim Campasano and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the predictability of equity implied volatility from the term structure, and find that forward volatility levels are biased predictors of future spot implied volatility. I construct options structures which proxy for forward volatility assets, and show that a long-short portfolio of forward volatility assets produce significantly profitable returns. As the construction of the trade is borne from a violation of an expectations hypothesis, the strategy is similar to the carry trade effected in foreign exchange and other assets. Unlike the returns to carry in foreign exchange and other assets, the forward volatility assets are not exposed to liquidity or volatility risks and negatively loads on market risk.
Author : Irina Zviadadze
Publisher :
ISBN 13 :
Total Pages : 69 pages
Book Rating : 4.:/5 (13 download)
Download or read book Term-Structure of Consumption Risk Premia in the Cross Section of Currency Returns written by Irina Zviadadze and published by . This book was released on 2016 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: I quantify the risk-return relationship in the foreign-exchange (FX) market across different countries and investment horizons by focusing on the role of multiple sources of consumption risk. I estimate a flexible structural model of the joint dynamics of US aggregate consumption, inflation, nominal yield, and stochastic variance with cross-equation restrictions implied by recursive preferences. I identify four sources of consumption risk: short-run, long-run, inflation, and variance shocks. The long-run consumption risk plays a prominent role in the FX market: it contributes to the spread in returns between high and low interest rate currencies across multiple investment horizons from one to five quarters. The short-run consumption risk affects currencies only at the quarterly horizon, where it explains 40% of the spread. The difference in returns between high and low yield currencies disappears for horizons longer than four quarters.
Author : Sheldon Natenberg
Publisher : McGraw Hill Professional
ISBN 13 : 155738486X
Total Pages : 485 pages
Book Rating : 4.5/5 (573 download)
Download or read book Option Volatility & Pricing: Advanced Trading Strategies and Techniques written by Sheldon Natenberg and published by McGraw Hill Professional. This book was released on 1994-08 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a thorough discussion of volatility, the most important aspect of options trading. Shows how to identify mispriced options and to construct volatility and "delta neutral" spreads.
Author : Vincent Campasano
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book Essays on the Term Structure of Volatility and Option Returns written by Vincent Campasano and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option's time to maturity (horizon) and slope of the implied volatility term structure for the underlying asset (term struc ture). We propose a simple, illustrative framework which intuitively captures these dynamics. Guided by our framework, we examine a number of volatility trading strategies across horizon, and the extent to which profitability of trading strategies is due to an interaction between term structure and realized volatility. While profitable trading strategies based upon term structure exist for both long and short horizon options, this interaction requires that positions in long horizon options be very different than those required for short horizon options. Equity option returns depend upon both term structure and horizon, but for index options, implied volatility term structure slope negatively predicts returns. While the carry trade has been applied profitably across asset classes and to index v volatility, given this difference in index and equity implied volatility dynamics, I examine the carry trade in the equity volatility market in the second essay. I show that the carry trade in equity volatility produces significant returns, and unlike the returns to carry in other asset classes, is not exposed to liquidity or volatility risks and negatively loads on market risk. A long volatility carry portfolio, after transactions costs, remains significantly profitable and negatively loads on market risks, challenging traditional asset pricing theories. Overwriting an index position with call options creates a portfolio with fixed exposures to market and volatility risk premia. I allow for time-varying allocations to volatility and the market by conditioning on the slope of the implied volatility term structure. I show that a three asset portfolio holding a VIX futures position, the SandP 500 Index and cash triples the returns of the index and more than doubles the risk-adjusted returns of the covered call while maintaining a return volatility roughly equal to that of the SandP 500 Index.
Author : Uwe Wystup
Publisher : John Wiley & Sons
ISBN 13 : 111847113X
Total Pages : 649 pages
Book Rating : 4.1/5 (184 download)
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2017-06-30 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
Author : Raquel M. Gaspar
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (13 download)
Download or read book Implied Volatility and Forward Price Term Structures written by Raquel M. Gaspar and published by . This book was released on 2014 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the relation between forward price models (FPM) and the so called implied volatility term structure (VTS). We start by considering the case of pure deterministic forward price volatilities and suppose both forward contracts and at-the-money (ATM) options, on a same underlying, are liquidly traded in the market. We, then, derive no arbitrage conditions between the functional form of the ATM implied VTS and the functional form of forward price volatilities. We conclude the first part by characterizing a parametric family of ATM implied VTS that is compatible with a finite dimensional realization (FDR) of forward prices. Finally, we consider the possibility of stochastic forward price volatilities and derive a no arbitrage drift condition that must hold for the dynamics of ATM implied VTS.
Author : Nobuya Takezawa
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (345 download)
Download or read book A Note on the Term Structure of Implied Volatilities written by Nobuya Takezawa and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
