Abstract This paper studies the predictive power of the time-varying shape of the credit default swap (CDS) term structure to explain changes in future implied and excess implied volatility (implied volatility...
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More Implied volatility articles
Price drop and volatility spike drives interest in oil-linked structures
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations...
Volatility spikes from 15 to 20 points after pro-democracy protests
Volatility benchmarks will follow launch of equity options later in 2014
But rejects price efficiency of US index options trading
Hedge funds holding their nerve in game of volatility limbo
Volatility is trading at low levels on HSCEI despite China fears
National Stock Exchange of India about to launch the fourth Asian equity volatility index this week
Misunderstanding of the correlation between global levels of volatility leading Asian investors to place too much faith in Vix, according to Edhec Risk Institute
The yen has become more range-bound following its dramatic fall earlier in the year, creating a lull in FX market activity during the western summer weeks
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