VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

DOI10.1142/S0219024914500022zbMath1290.91161MaRDI QIDQ5411986

Masaaki Fukasawa

Publication date: 25 April 2014

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

zbMATH Keywords

asymptotic expansionrobust hedgingleverage effectvariance swapgamma swapvolatility skew

Mathematics Subject Classification ID

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

Related Items

Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula, Weighted variance swaps hedge against impermanent loss, Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach, Exponentiation of conditional expectations under stochastic volatility, Volatility has to be rough

Cites Work

• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• 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
• On pathwise stochastic integration
• The mathematics of arbitrage
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX