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Allan Jonathan da Silva, Jack Baczynski and José Valentim Machado Vicente
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional chara...
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José Valentim Machado Vicente,Gustavo Silva Araujo,Paula Baião Fisher de Castro,Felipe Noronha Tavares
Pág. 41 - 66
The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investo...
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Claudio Henrique Barbedo,Octávio Bessada Lion,Jose Valentim Machado Vicente
Pág. 9 - 23
Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable informa...
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Ronny Kim Woo,José Valentim Machado Vicente,Claudio Henrique Barbedo
Pág. p. 485 - 501
The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented,...
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