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Closed-Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks 具有随机流动性风险的随机波动条件下方差和波动率互换的闭式公式
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22531
Sha Lin, Xin-Jiang He
{"title":"Closed-Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks","authors":"Sha Lin,&nbsp;Xin-Jiang He","doi":"10.1002/fut.22531","DOIUrl":"10.1002/fut.22531","url":null,"abstract":"<div>\u0000 \u0000 <p>We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when the market is perfectly liquid. Stock dynamics are further revised by discounting their prices through the employment of mean reverting market liquidity. We convert the stock dynamics under the physical measure into the one under a risk-neutral measure via measure transform, with which the analytical valuation of variance and volatility swaps is realized. By taking the limit of sampling frequency, we further consider how both swaps with continuous sampling can be priced. Numerical implementation is finally carried out, with which the capability of the constructed model in capturing the influence of the two common types of financial risks can be clear.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1447-1461"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Effect of Anti-Procyclical Central Counterparty Margins On Trading 反周期中央对手方保证金对交易的影响
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22533
Aniket Bhanu
{"title":"The Effect of Anti-Procyclical Central Counterparty Margins On Trading","authors":"Aniket Bhanu","doi":"10.1002/fut.22533","DOIUrl":"10.1002/fut.22533","url":null,"abstract":"<div>\u0000 \u0000 <p>The last decade has seen substantial research and debates on the procyclicality of Central Counterparty (CCP) margins, but these are limited to the sensitivity of margin models to market conditions. This paper establishes the effect of feedback loop between the sensitivity of margin models and trading behavior. It utilizes unique design and high-frequency data from Indian markets to conduct an event study surrounding the revisions in the margin models to enhance their anti-procyclicality (APC) characteristics. The analysis shows that current period volatility influences position exits in the subsequent period and vice-versa. The analysis further shows that for the same price movement, position exits are lowered under stronger APC margin. The effect is weaker for participants having variation losses, where limiting losses may be an additional incentive to exit positions in addition to rise in initial margins. The findings support the argument that better APC characteristics of CCP margins can attenuate volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1474-1486"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 7, July 2024 期货市场期刊》：第 44 卷第 7 号，2024 年 7 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-06 DOI: 10.1002/fut.22433
{"title":"Journal of Futures Markets: Volume 44, Number 7, July 2024","authors":"","doi":"10.1002/fut.22433","DOIUrl":"https://doi.org/10.1002/fut.22433","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1095"},"PeriodicalIF":1.9,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22433","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options 为百慕大期权定价的一离最小二乘蒙特卡洛算法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-23 DOI: 10.1002/fut.22515
Jeechul Woo, Chenru Liu, Jaehyuk Choi
{"title":"Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options","authors":"Jeechul Woo,&nbsp;Chenru Liu,&nbsp;Jaehyuk Choi","doi":"10.1002/fut.22515","DOIUrl":"10.1002/fut.22515","url":null,"abstract":"<p>The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of avoiding it requires additional simulation paths. We present the leave-one-out LSM (LOOLSM) algorithm to eliminate look-ahead bias without doubling simulations. We also show that look-ahead bias is asymptotically proportional to the regressors-to-paths ratio. Our findings are demonstrated with several option examples in which the LSM algorithm overvalues the options. The LOOLSM method can be extended to other regression-based algorithms that improve the LSM method.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1404-1428"},"PeriodicalIF":1.8,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141146396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information 利用包含 VIX 信息的 HARGARCH 模型对股票收益波动性进行建模和预测
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-22 DOI: 10.1002/fut.22516
Zhiyuan Pan, Jun Zhang, Yudong Wang, Juan Huang
{"title":"Modeling and forecasting stock return volatility using the HARGARCH model with VIX information","authors":"Zhiyuan Pan,&nbsp;Jun Zhang,&nbsp;Yudong Wang,&nbsp;Juan Huang","doi":"10.1002/fut.22516","DOIUrl":"10.1002/fut.22516","url":null,"abstract":"<p>This study develops a novel approach for improving stock return volatility forecasts using volatility index information with the entropic tilting technique. Unlike traditional linear heteroskedasticity autoregressive methods with option-implied information, we first derive predictive densities from traditional models, and then tilt using both the first and second moments of the risk-neutral distribution, which enables us to capture the nonlinear effect in our specification. The empirical findings demonstrate a substantial enhancement in the forecasting accuracy of all models once the first- and second-moment information is considered, where the improvement is both statistically and economically significant. These results have important implications for risk management in well-established derivatives markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1383-1403"},"PeriodicalIF":1.8,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141110719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Managing risk and reaping rewards: Climate-change futures as a game-changer for energy futures markets 管理风险，收获回报：气候变化期货改变能源期货市场的游戏规则
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-20 DOI: 10.1002/fut.22513
Mohammad Enamul Hoque, M. Kabir Hassan, Luca Pezzo
{"title":"Managing risk and reaping rewards: Climate-change futures as a game-changer for energy futures markets","authors":"Mohammad Enamul Hoque,&nbsp;M. Kabir Hassan,&nbsp;Luca Pezzo","doi":"10.1002/fut.22513","DOIUrl":"10.1002/fut.22513","url":null,"abstract":"<p>Climate-change futures provide a platform for low-carbon portfolios and energy market risk hedging. Climate changes induce uncertainty in energy-commodity markets. We investigate the potential of diversifying and hedging energy-commodity market risk with climate-change futures, using dynamic conditional correlation (DCC)-ordinary least squares (OLS) incorporating quantile-dummies and cross-quantilogram (CQ) approaches. DCC-OLS models reveal that the World and USA climate-change futures exhibit that they can be diversifiers for oil, ethanol, gasoil, and gasoline. These futures also exhibit hedging features for natural gas, coal, and heating oil. Euro climate-change futures demonstrate hedging capabilities for all energy commodities except oil and gasoil. World, USA, and Euro climate-change futures have the potential to serve as safe-haven financial instruments in the face of the high volatility of Brent crude oil, gasoil, and heating oil. The CQ reveals that World, USA, and Euro climate-change futures exhibit hedging and safe-haven capacity against oil, natural gas, coal, gasoil, gasoline, and heating futures. Climate-change futures may protect financial investments during extreme volatility in energy commodities.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1338-1356"},"PeriodicalIF":1.8,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141119110","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financialization of commodity markets: New evidence from temporal and spatial domains 商品市场的金融化：来自时空领域的新证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-20 DOI: 10.1002/fut.22514
Libo Yin, Hong Cao
{"title":"Financialization of commodity markets: New evidence from temporal and spatial domains","authors":"Libo Yin,&nbsp;Hong Cao","doi":"10.1002/fut.22514","DOIUrl":"10.1002/fut.22514","url":null,"abstract":"<p>To address the ongoing contention surrounding the impact of financialization, this study adopts a ripple-spreading network model to analyze the transmission of information across 13 globally significant commodity markets. By juxtaposing the pre- and postfinancialization periods, notable disparities in spillover magnitude are discerned, with overall effects registering at 58% and 85%, respectively. Moreover, the postfinancialization period exhibits accelerated spillover dynamics, necessitating a reduced timeframe (less than 1000 units) in contrast to the prefinancialization period (approximately 2000 units). Furthermore, a heightened interconnectedness among energy, metal, and agricultural futures is evident in the postfinancialization period. These findings furnish compelling evidence regarding the ramifications of financialization on commodity markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1357-1382"},"PeriodicalIF":1.8,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141122195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The asymmetry in day and night option returns: Evidence from an emerging market 日间和夜间期权收益的不对称性：新兴市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-09 DOI: 10.1002/fut.22512
Aparna Bhat, Piyush Pandey, S. V. D. Nageswara Rao
{"title":"The asymmetry in day and night option returns: Evidence from an emerging market","authors":"Aparna Bhat,&nbsp;Piyush Pandey,&nbsp;S. V. D. Nageswara Rao","doi":"10.1002/fut.22512","DOIUrl":"10.1002/fut.22512","url":null,"abstract":"<p>Delta-hedged option selling strategies typically yield positive returns, owing to the volatility risk premium embedded in the option price. Recent research based on S&amp;P 500 options has found a day–night asymmetry in option returns. We find a similar disparity in the returns for short Nifty option strategies. Positive and significant overnight option returns are accompanied by negative intraday returns. The day–night asymmetry is robust across option categories and subsamples but weaker on days with significant jumps in the underlying. We confirm that the variance risk premium earned by option sellers is mainly a reward for overnight risk.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1320-1337"},"PeriodicalIF":1.8,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140942566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High–low volatility spillover network between economic policy uncertainty and commodity futures markets 经济政策不确定性与商品期货市场之间的高低波动溢出网络
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-05 DOI: 10.1002/fut.22511
Youtao Xiang, Sumuya Borjigin
{"title":"High–low volatility spillover network between economic policy uncertainty and commodity futures markets","authors":"Youtao Xiang,&nbsp;Sumuya Borjigin","doi":"10.1002/fut.22511","DOIUrl":"10.1002/fut.22511","url":null,"abstract":"<p>Based on the formation and evolution of systemic risk, we study the high-low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk-emitter but also a risk-recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1295-1319"},"PeriodicalIF":1.8,"publicationDate":"2024-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 6, June 2024 期货市场期刊》：第 44 卷第 6 号，2024 年 6 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-04-30 DOI: 10.1002/fut.22432
{"title":"Journal of Futures Markets: Volume 44, Number 6, June 2024","authors":"","doi":"10.1002/fut.22432","DOIUrl":"https://doi.org/10.1002/fut.22432","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 6","pages":"877"},"PeriodicalIF":1.9,"publicationDate":"2024-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22432","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140814304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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