Papers, wiki, Option Blackboard, encyclopedia, and cards.
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to better understand VIX option implied volatilities. The main contribution of the paper is the derivati…
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that option prices under the r…
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Post Earnings Drift (Equity).
Embedding Drift chat — AI retrieval, agent, evaluation, or production-reliability concept.
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Post Earnings Drift US (Equity).
Post Earnings Drift Europe (Equity).
Post Earnings Drift Japan (Equity).
Post Earnings Drift China (Equity).
Post Earnings Drift EM (Equity).
Post Earnings Drift tech (Equity).
Post Earnings Drift banks (Equity).
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Post Earnings Drift large-cap (Equity).
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Post Earnings Drift growth (Equity).
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Election Fiscal Drift Mexico (Emerging Markets).
Election Fiscal Drift Chile (Emerging Markets).
Election Fiscal Drift Colombia (Emerging Markets).
Election Fiscal Drift Peru (Emerging Markets).
Election Fiscal Drift South Africa (Emerging Markets).
Election Fiscal Drift Turkey (Emerging Markets).
Election Fiscal Drift Poland (Emerging Markets).
Election Fiscal Drift Brazil (Emerging Markets).
Election Fiscal Drift Chile (Emerging Markets).
Election Fiscal Drift China (Emerging Markets).
Election Fiscal Drift Colombia (Emerging Markets).
Election Fiscal Drift Czech (Emerging Markets).
Election Fiscal Drift Egypt (Emerging Markets).
Election Fiscal Drift Hungary (Emerging Markets).
Election Fiscal Drift India (Emerging Markets).
Election Fiscal Drift Indonesia (Emerging Markets).
Election Fiscal Drift Korea (Emerging Markets).
Election Fiscal Drift Malaysia (Emerging Markets).
Election Fiscal Drift Mexico (Emerging Markets).
Election Fiscal Drift Nigeria (Emerging Markets).
Election Fiscal Drift Peru (Emerging Markets).
Election Fiscal Drift Philippines (Emerging Markets).
Election Fiscal Drift Poland (Emerging Markets).
Election Fiscal Drift South Africa (Emerging Markets).
Election Fiscal Drift Taiwan (Emerging Markets).
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Embedding Drift canary — AI retrieval, agent, evaluation, or production-reliability concept.
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Embedding Drift chat — AI retrieval, agent, evaluation, or production-reliability concept.