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Equity, commodity and interest rate volatility derivatives

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dc.affiliation.institutoUC3M. Instituto para el Desarrollo de Empresas y Mercados (INDEM)es
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBlanco, Iván
dc.contributor.authorNavarro, Eliseo
dc.contributor.editorUniversidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial (INDEM)
dc.date.accessioned2013-09-13T12:15:04Z
dc.date.available2013-09-13T12:15:04Z
dc.date.issued2013
dc.description.abstractA 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.
dc.description.sponsorshipResearch partially supported by “Comunidad Autónoma de Madrid” (Spain, Grant S2009/ESP −1594) and “MEyC” (Spain, Grants ECO2009−14457−C04 and ECO2012−39031−C02−01).en
dc.format.mimetypeapplication/pdf
dc.identifier.issn1989-8843
dc.identifier.repecid-13-02
dc.identifier.urihttps://hdl.handle.net/10016/17548
dc.language.isoeng
dc.relation.ispartofseriesINDEM Working Paper Business Economic
dc.relation.ispartofseries13-02
dc.relation.projectIDGobierno de España. ECO2012−39031−C02−01
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.otherIncomplete and imperfect market
dc.subject.otherRisk measure
dc.subject.otherVolatility derivative
dc.subject.otherCommodity
dc.subject.otherInterest rate
dc.titleEquity, commodity and interest rate volatility derivatives
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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