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searching for Implied volatility 23 found (81 total)

alternate case: implied volatility

Risk reversal (401 words) [view diff] exact match in snippet view article find links to article

the greater its implied volatility. A positive risk reversal means the implied volatility of calls is greater than the implied volatility of similar puts
Trading strategy index (883 words) [view diff] exact match in snippet view article find links to article
vice versa. Implied volatility against realized volatility . In a number of markets such as commodities and rates, the implied volatility, as implied
Stochastic volatility jump (193 words) [view diff] exact match in snippet view article find links to article
jump (SVJ) model is suggested by Bates. This model fits the observed implied volatility surface well. The model is a Heston process for stochastic volatility
Financial risk (2,668 words) [view diff] exact match in snippet view article find links to article
general (not related to a particular company or industry) or the implied volatility will change. When it comes to long-term investing, equities provide
Fixed income arbitrage (2,177 words) [view diff] exact match in snippet view article find links to article
fixed income security’s forecasted future price-volatility and the implied volatility of options based on the same asset. Similar to the case of finding
John C. Hull (572 words) [view diff] case mismatch in snippet view article find links to article
a wife named Michelle. A Neural Network Approach to Understanding Implied Volatility Movements" Quantitative Finance, 2020, forthcoming (with Jay Cao and
Thomson Reuters Realized Volatility Index (145 words) [view diff] exact match in snippet view article find links to article
be considered a more useful measure for market participants than implied volatility (IV) measures. The index was first introduced during the webcast The
Exchange-traded fund (8,763 words) [view diff] exact match in snippet view article find links to article
can also be observed from the implied volatility surfaces of leveraged ETF options. For instance, the implied volatility curves of inverse leveraged ETFs
Risk metric (238 words) [view diff] exact match in snippet view article find links to article
the stock's returns over the past 100 trading days. Calculate the implied volatility of the stock from some specified call option on the stock. These are
Swaption (1,385 words) [view diff] exact match in snippet view article find links to article
underlying swap. Adjustments may then be made for moneyness; see Implied volatility surface under Volatility smile. To use the lattice based approach
Credit spread (options) (1,146 words) [view diff] exact match in snippet view article
Additionally, writing (selling) credit spreads with higher current IV (implied volatility) 50% and higher, will increase the prospects for a profitable trade
Bond option (1,470 words) [view diff] exact match in snippet view article find links to article
Girsanov's theorem. The volatility used, is typically "read-off" an Implied volatility surface. The lattice-based model entails a tree of short rates – a
Damiano Brigo (799 words) [view diff] exact match in snippet view article find links to article
Wayback Machine. Fengler, M. R. (2005), Semiparametric modeling of implied volatility, Springer Verlag, Berlin. Musiela, M., and Rutkowski, M. (2004), Martingale
SuperDerivatives (957 words) [view diff] exact match in snippet view article find links to article
the currency business. In 2004, SuperDerivatives started publishing implied volatility data from the OTC markets as a new options mark-to-market service
Swap (finance) (3,798 words) [view diff] exact match in snippet view article
trade future realized (or historical) volatility against current implied volatility. A constant maturity swap (CMS) is a swap that allows the purchaser
1994 bond market crisis (2,781 words) [view diff] exact match in snippet view article find links to article
money market instability corresponded with a similar increase in implied volatility for bond yields. Others, such as Chairman of the House Banking Committee
Financial correlation (4,210 words) [view diff] exact match in snippet view article find links to article
similar to the often cited implied volatility smile in the Black–Scholes–Merton model. Here traders increase the implied volatility especially for out-of-the
Functional principal component analysis (1,995 words) [view diff] exact match in snippet view article find links to article
on financial data sets such as stock market indices, generation of implied volatility graphs and so on. A very nice example of the advantages of the functional
Mark Carney (4,282 words) [view diff] exact match in snippet view article find links to article
market asset pricing" resulting in the UK now having "the highest FX implied volatility, the highest equity risk premium and lowest real yields of any advanced
Convertible bond (5,050 words) [view diff] exact match in snippet view article find links to article
Using the market price of the convertible, one can determine the implied volatility (using the assumed spread) or implied spread (using the assumed volatility)
Fokker–Planck equation (6,078 words) [view diff] case mismatch in snippet view article find links to article
S2CID 154069452. Fengler, M. R. (2008). Semiparametric Modeling of Implied Volatility, 2005, Springer Verlag, ISBN 978-3-540-26234-3 Jim Gatheral (2008)
Mathematical economics (12,635 words) [view diff] exact match in snippet view article find links to article
the Volatility smile is a 3-D surface whereby the current market implied volatility (Z-axis) for all options on the underlier is plotted against strike
European Union Emissions Trading System (9,596 words) [view diff] exact match in snippet view article find links to article
declined to zero over the next twelve months. Such movements and the implied volatility raised questions about the viability of the Phase I system to provide