DOIAbstract
A Correlation Swap is a contract in which the option buyer receives the difference between the observed correlation and the strike correlation on a basket of assets, observed over a specified time interval
A Correlation Swap is a contract in which the option buyer receives the difference between the observed correlation and the strike correlation on a basket of assets, observed over a specified time interval
This research investigates that the price relationship between a stock index and its associated near...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning tha...
A Correlation Swap is a contract in which the option buyer receives the difference between the obser...
A Correlation Swap is a contract whose payoff at maturity is the difference between the realized cor...
In the recent years, banks have sold structured products such as Worst-of options, Everest and Himal...
In the recent years, banks have sold structured products such as worst-of options, Everest and Himal...
This thesis tries to explore the profitability of the dispersion trading strategies. We begin examin...
The aim of this thesis is to provide a formula for the value of a correlation swap. To get to this f...
We study whether exposure to marketwide correlation shocks affects expected option returns, using da...
Pricing of options plays an important role in the financial industry. Investors knowing how to price...
Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations throug...
Motivated by ample evidence that stock-return correlations are stochastic, we study the economic ide...
The lack of a liquid market for implied correlations requires traders to estimate correlation matri...
Correlation is one of the most important parameters that needs to be estimated in the context of Mod...
This research investigates that the price relationship between a stock index and its associated near...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning tha...
A Correlation Swap is a contract in which the option buyer receives the difference between the obser...
A Correlation Swap is a contract whose payoff at maturity is the difference between the realized cor...
In the recent years, banks have sold structured products such as Worst-of options, Everest and Himal...
In the recent years, banks have sold structured products such as worst-of options, Everest and Himal...
This thesis tries to explore the profitability of the dispersion trading strategies. We begin examin...
The aim of this thesis is to provide a formula for the value of a correlation swap. To get to this f...
We study whether exposure to marketwide correlation shocks affects expected option returns, using da...
Pricing of options plays an important role in the financial industry. Investors knowing how to price...
Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations throug...
Motivated by ample evidence that stock-return correlations are stochastic, we study the economic ide...
The lack of a liquid market for implied correlations requires traders to estimate correlation matri...
Correlation is one of the most important parameters that needs to be estimated in the context of Mod...
This research investigates that the price relationship between a stock index and its associated near...
A variance swap is a forward contract on annualized variance, the square of the realized volatility....
Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning tha...
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