Essays about: "Vomma"
Found 2 essays containing the word Vomma.
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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 statistikAbstract : 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
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2. Calculating sensitivities in the SABR/LIBOR market model for European swaptions
University essay from Institutionen för fysikAbstract : 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
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