Equity, commodity and interest rate volatility derivatives

Iván Blanco and Eliseo Navarro

IC3JM - Estudios = Working Papers from Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM)

Abstract: A new methodology to construct synthetic volatility derivatives is presented. The underlying asset price process is very general, since equity, commodities and interest rates are included. The focus is on volatility swaps and volatility swap options, but much more derivatives may be considered. The proposed methods optimize the conditional value at risk of the non-hedged risk, and yields both bid and ask prices, as well as optimal hedging strategies for both purchases and sales. Upper bounds for the broker capital losses under very negative scenarios are given. Numerical experiments are presented so as to illustrate the performance in practice of this new approach.

Keywords: Incomplete; and; imperfect; market; Risk; measure; Volatility; derivative; Commodity; Interest; rate (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... f79a79376ef1/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:imrepe:id-13-02

Access Statistics for this paper

More papers in IC3JM - Estudios = Working Papers from Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM)
Bibliographic data for series maintained by Ana Poveda ().