Essays about: "Vomma"

Found 2 essays containing the word Vomma.

  1. 1. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE

  3. 2. Calculating sensitivities in the SABR/LIBOR market model for European swaptions

    University essay from Institutionen för fysik

    Author : Moa Hållberg; [2012]
    Keywords : Swaptions; market model; SABR; LIBOR; SABR LIBOR; Sensitivities; Greeks; Vega; Vomma; Volatility smile;

    Abstract : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. READ MORE