VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

DOI10.1142/S0219024914500022zbMATH Open1290.91161MaRDI QIDQ5411986FDOQ5411986

Authors: Masaaki Fukasawa 

Publication date: 25 April 2014

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

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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)

Cites Work

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

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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