Variance Trading and Market Price of Variance Risk

2010 ◽  
Author(s):  
Oleg Bondarenko
Keyword(s):  
Market Price ◽  
Variance Risk

scholarly journals The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments

2010 ◽  
Vol 45 (5) ◽  
pp. 1279-1310 ◽  
Author(s):  
Daniel Egloff ◽  
Markus Leippold ◽  
Liuren Wu
Keyword(s):  
Term Structure ◽  
Investment Decision ◽  
Market Price ◽  
Optimal Investment ◽  
Stock Index ◽  
Structure Variation ◽  
Variance Swap ◽  
Variance Risk ◽  
Negative Estimate ◽  
Swap Rates

AbstractThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market price of variance risk makes it optimal for an investor to take short positions in a short-term variance swap contract, long positions in a long-term variance swap contract, and short positions in the stock index.

scholarly journals HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

2011 ◽  
Vol 14 (06) ◽  
pp. 899-943 ◽  
Author(s):  
JOSÉ DA FONSECA ◽  
MARTINO GRASSELLI ◽  
FLORIAN IELPO
Keyword(s):  
Asset Allocation ◽  
Market Price ◽  
Real Data ◽  
Model Parameters ◽  
Variance Swaps ◽  
Stochastic Correlation ◽  
Variance Risk ◽  
Portfolio Optimization Problem ◽  
The Impact ◽  
Derivative Products

In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance swaps. We solve this optimal portfolio allocation program using the Wishart Affine Stochastic Correlation framework, as introduced in Da Fonseca, Grasselli and Tebaldi (2007): it shares the analytical tractability of the single-asset counterpart represented by the [36] model and it seems to be the natural framework for studying multivariate problems when volatilities as well as correlations are stochastic. What is more, this framework shows how variance swaps can implicitly span the covariance risk. We provide the explicit solution to the portfolio optimization problem and we discuss the structure of the portfolio loadings with respect to model parameters. Using real data on major indexes, we find that the impact of covariance risk on the optimal strategy is huge. It first leads to a portfolio that is mostly driven by the market price of volatility-covolatility risks. It is then strongly leveraged through variance swaps, thus leading to a much higher utility, when compared to the case when investing in such derivatives is not possible.

Variance trading and market price of variance risk

2014 ◽  
Vol 180 (1) ◽  
pp. 81-97 ◽  
Author(s):  
Oleg Bondarenko
Keyword(s):  
Market Price ◽  
Variance Risk

PENGARUH IT SPENDING TERHADAP KINERJA PERUSAHAAN PADA PERUSAHAAN TELEKOMUNIKASI YANG TERDAFTAR DI BURSA EFEK SELURUH ASIA TENGGARA PADA TAHUN 2009-2011

MODUS ◽  
2016 ◽  
Vol 26 (2) ◽  
pp. 93
Author(s):  
Irene Adrayani
Keyword(s):  
Stock Price ◽  
Sampling Method ◽  
Capital Expenditure ◽  
Stock Exchange ◽  
Market Price ◽  
Market Value ◽  
Company Performance ◽  
Corporate Value ◽  
Accounting Information System ◽  
Company Value

This study aims to get empirical evidence about the infuence of IT spending on corporate value by testing the efect of IT spending on corporate value by using Tobin’s Q. Te higher the stock price, the higher the company value as well as investors’ assessment. The market price of the company’s stocks refects investors’ assessment of the overall equity held. Of the stock price refects investor can provide an assessment of a company. Tobin’s Q is the ratio of the market value of the company’s assets as measured by the market value of the outstanding stocks and debt (enterprise value) to the replacement cost of the assets of the company. The sampling method is based on purposive sampling method with the purpose to obtain a sample that meets the criteria. Tis study used a sample taken from a telecommunications company listed on the Stock Exchange throughout Southeast Asia during the period of 2009-2011. The hypothesis in this study was tested using simple regression. Based on data analysis, the result that the variable IT spending does not afect the company value.Keywords: accounting information system, Tobin’s Q, IT spending, capital expenditure, company performance

Effect of Market Price on Economic Earnings

1958 ◽  
Vol 14 (5) ◽  
pp. 67-67
Author(s):  
F.W. Elliott Farr
Keyword(s):  
Market Price

PROFITABILITY ANALYSIS OF NORMAL SEASON AND OFF-SEASON MUSKMELON CULTIVATION IN DISTRICT SIALKOT, PAKISTAN

1970 ◽  
pp. 24
Author(s):  
MUHAMMAD TAHIR LATIF, FALAK SHER, MUZZAMMIL HUSSAIN
Keyword(s):  
Sampling Method ◽  
Field Survey ◽  
Market Price ◽  
Primary Data ◽  
Customer Demand ◽  
Net Return ◽  
Profitability Analysis ◽  
Economic Parameters ◽  
Convenience Sampling ◽  
Gross Income

A field survey was conducted during 2016 to estimate the profitability of normal season and off-season muskmelon cultivation in district Sialkot, Pakistan. The primary data was collected from forty farmers with convenience sampling method. Economic parameters like net return and BCR were employed. Off-season muskmelon cultivation was found economically feasible due to additions of yield (17%), gross income (122%), profit (161%) and market price (90%) in comparison to normal season crop. Therefore, it is recommended to cultivate the off-season muskmelon (BCR 3.26) to obtain more profit and fulfill the customer demand in less supply period instead of normal season cultivation (BCR 2.44).

The Links between the Companies Market Price Quality and that of its Management and Business Quality: A System Panel Data Approach

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 28-38
Author(s):  
Dinis Daniel Santos ◽  
Elias Soukiazis
Keyword(s):  
Panel Data ◽  
Business Performance ◽  
Market Price ◽  
Equation System ◽  
Simultaneous Equation ◽  
System Equation ◽  
Simultaneous Equation System ◽  
Management Quality ◽  
The Relationship

This work uses a simultaneous equation system approach to analyze the relationship between the management and business quality of companies and their market price quality. Using panel data we found that both the management and the business quality of companies positively influence the market price quality of the studied American companies. Additionally, variables like the actual position of the company price quality compared to the industry average, being on the top or the bottom, or the beta value of a company, also influence the market price quality of the respective company. It is shown that the system equation approach is the most appropriate to explain the linkages between price, business, and management quality providing consistent estimates. Also, using ratings to express the three core variables in the system is the most adequate way to define the quality characteristics in terms of price, management, and business performance of the companies considered in this study.

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