VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

DOI10.1142/S0219024914500022MaRDI QIDQ5411986zbMATH OpenFDO

Authors Masaaki Fukasawa

Publication date 25 April 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionleverage effectvariance swapgamma swaprobust hedgingvolatility skew

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

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• On the pricing and hedging of volatility derivatives

Cites work

• Asymptotic analysis for stochastic volatility: Edgeworth expansion
• Asymptotic analysis for stochastic volatility: martingale expansion
• Contrast-based information criterion for ergodic diffusion processes from discrete observations
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
• On pathwise stochastic integration
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Put-call symmetry: extensions and applications
• The mathematics of arbitrage
• The normalizing transformation of the implied volatility smile

Cited in

(7)

• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
• Weighted variance swaps hedge against impermanent loss
• Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
• Volatility has to be rough
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
• Exponentiation of conditional expectations under stochastic volatility
• Implied volatility functions in arbitrage-free term structure models.

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