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Alan De Genaro Dario
Pág. pp. 203 - 228
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated b...
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Shanuka Senarath, Pelma Rajapakse, Jan Job de Vries Robbé, Naveen Wickremeratne and Maduka Subasinghage
A credit default swap (CDS) is a derivative financial instrument that provides insurance against credit risk. CDSs on subprime Asset Backed Securities (ABSs) paved the way for securitizers to hedge the credit risk of the underlying subprime loans during ...
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Goran Milutinovic, Stefan Seipel and Ulla Ahonen-Jonnarth
Decision-making methods used in geospatial decision making are computationally complex prescriptive methods, the details of which are rarely transparent to the decision maker. However, having a deep understanding of the details and mechanisms of the appl...
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Martin Tetaz
El presente trabajo analiza dos alternativas para resolver problemas de múltiples criterios a la hora de tomar decisiones.Son analizados los modelos de ?EVEN SWAPS? y ?CHOICE BASED CONJOINT (CBC), utilizando una elección entre trabajos hipotéticos como m...
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Richard John Brostowicz Junior,Márcio Poletti Laurini
Pág. 197 - 228
A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differenc...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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Fernando Bravo Herrera, Ariel Márquez Sepúlveda, Cristian Pinto Gutiérrez
Pág. 5 - 20
El presente trabajo realiza una revisión, análisis y exploración de uno de los principales instrumentos derivados transados en Chile, los swaps de tasas de interés, y sus métodos de valorización más utilizados, además de abordar la gestión de riesgos fin...
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Mariya Georgieva Paskaleva
Pág. 81 - 113
This study represents the increasing significance of credit default swaps for European capital markets, namely Germany, France, Belgium, Ireland, Italy, Portugal, Spain, Greece, Bulgaria and Romania. The period of analysis is between 2003- 2016 years. Af...
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Maria do Rosario CORREIA,Christian GOKUS,Andrew Hughes HALLETT,Christian R. RICHTER
Pág. 350 - 376
JEL. C22, C58, G14, G15, H63, H68.
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Marina Pepic
Pág. 69 - 80
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Branko ?ivanovic, Ana Jolovic
Pág. 14 - 30
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Leandro Vieira Lima Araújo, Fábio Henrique Bittes Terra
Investiga-se, a` luz da teoria pós-keynesiana, o comportamento da taxa de ca^mbio no Brasil face as intervenc¸o~es com swaps cambiais do Banco Central de 2002 a 2015. Analisam-se as propriedades de uma economia aberta, as condicionantes da taxa de ca^mbi...
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Muhsin Kar, Tayfur Bayat and Selim Kayhan
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change am...
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Muhsin Kar, Tayfur Bayat and Selim Kayhan
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Cristian Johnson
Pág. pp. 217 - 247
This article describes the Value at Risk concept, popularized during the last tenor fifteen years, presenting applications on stocks, bonds, interest and exchangerate forward contracts, and swaps. We applied asymmetric GARCH methodologiesover Chilean sto...
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Tomasz Walczyna and Zbigniew Piotrowski
The proliferation of ?Deep fake? technologies, particularly those facilitating face-swapping in images or videos, poses significant challenges and opportunities in digital media manipulation. Despite considerable advancements, existing methodologies ofte...
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Khaldoun Maddallah Al-Qaisi,Rafat Mohd Soudki Al-Batayneh
Pág. 697 - 700
The recent global economic downturn that erupted in the mid 2007 saw an increase of the Credit Default Swaps (CDS) by hundred basis points and severe liquidity crunch in the financial sector of the United States. The recession phase highlighted the impor...
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Shaen Corbet
Pág. 83 - 92
This research examines the effects of sovereign downgrades on European financial markets between 2005 and 2012. Vector Autoregression (VAR) techniques are used to investigate the presence of contagion effects after a sovereign downgrade across equity ind...
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Soundar raj Dinakaran, Dr. J. Clement Sudhahar
Pág. 1549 - 1551
Supply Chain Management is the major operation tool for all the Industries. Micro, Small and Medium Industries are aware of the supply chain management but many of these companies have not yet followed this operation tool. In this scenario the Lean Suppl...
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Paulo Pereira Da Silva
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of ...
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