The Information Content of Implied Co-Volatility and Co-Variance Swap

This paper discusses quanto spread trading strategy and introduces a simple model that allows the co-variance to be implied from the quanto spread. A synthetic co-variance swap is then constructed with the implied co-variance as the fixed rate. This paper also provides an empirical analysis over the...

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Main Author:	TING, Christopher
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2013
Subjects:	quanto futures covariance covolatility CME Nikkei Finance and Financial Management
Online Access:	https://ink.library.smu.edu.sg/lkcsb_research/3423
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.lkcsb_research-4422
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spelling	sg-smu-ink.lkcsb_research-44222014-01-23T10:04:40Z The Information Content of Implied Co-Volatility and Co-Variance Swap TING, Christopher This paper discusses quanto spread trading strategy and introduces a simple model that allows the co-variance to be implied from the quanto spread. A synthetic co-variance swap is then constructed with the implied co-variance as the fixed rate. This paper also provides an empirical analysis over the period spanning January 2005 through December 2010. Our empirical findings suggest that the proposed co-variance swap is fair to both the buyer and the seller, which is consistent with the evidence that the implied co-volatility can forecast future co-volatility. 2013-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3423 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University quanto futures covariance covolatility CME Nikkei Finance and Financial Management
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	quanto futures covariance covolatility CME Nikkei Finance and Financial Management
spellingShingle	quanto futures covariance covolatility CME Nikkei Finance and Financial Management TING, Christopher The Information Content of Implied Co-Volatility and Co-Variance Swap
description	This paper discusses quanto spread trading strategy and introduces a simple model that allows the co-variance to be implied from the quanto spread. A synthetic co-variance swap is then constructed with the implied co-variance as the fixed rate. This paper also provides an empirical analysis over the period spanning January 2005 through December 2010. Our empirical findings suggest that the proposed co-variance swap is fair to both the buyer and the seller, which is consistent with the evidence that the implied co-volatility can forecast future co-volatility.
format	text
author	TING, Christopher
author_facet	TING, Christopher
author_sort	TING, Christopher
title	The Information Content of Implied Co-Volatility and Co-Variance Swap
title_short	The Information Content of Implied Co-Volatility and Co-Variance Swap
title_full	The Information Content of Implied Co-Volatility and Co-Variance Swap
title_fullStr	The Information Content of Implied Co-Volatility and Co-Variance Swap
title_full_unstemmed	The Information Content of Implied Co-Volatility and Co-Variance Swap
title_sort	information content of implied co-volatility and co-variance swap
publisher	Institutional Knowledge at Singapore Management University
publishDate	2013
url	https://ink.library.smu.edu.sg/lkcsb_research/3423
_version_	1770571423413174272

The Information Content of Implied Co-Volatility and Co-Variance Swap

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