1 citations · 1 across the 7 of their papers we have counts for
7 papers
Estimating the Stochastic Discount Factor from Option Prices and Predicting the Equity Premium
Kenichiro Shiraya, Tomohisa Yamakami, Akira Yamazaki
This paper proposes a stochastic discount factor (SDF) scaled by time-varying volatility. By utilizing prices and market data implied solely from S\&P 500 options, the proposed fra…
Estimating the Hurst parameter from the zero vanna implied volatility and its dual
Elisa Alos, Frido Rolloos, Kenichiro Shiraya
The covariance between the return of an asset and its realized volatility can be approximated as the difference between two specific implied volatilities. In this paper it is prove…
New approaches of the DCC-GARCH residual: Application to foreign exchange rates
Kenichiro Shiraya, Kanji Suzuki, Tomohisa Yamakami
Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter a…
A lower bound for the volatility swap in the lognormal SABR model
E. Alòs, F. Rolloos, K. Shiraya
In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.…
Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility
Kenichiro Shiraya, Tomohisa Yamakami
Copulas are used to construct joint distributions in many areas. In some problems, it is necessary to deal with correlation structures that are more complicated than the commonly k…
Forward start volatility swaps in rough volatility models
Elisa Alòs, Frido Rolloos, Kenichiro Shiraya
This paper shows the relationship between the forward start volatility swap price and the forward start zero vanna implied volatility of forward start options in rough volatility m…
On the difference between the volatility swap strike and the zero vanna implied volatility
Elisa Alos, Frido Rolloos, Kenichiro Shiraya
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilitie…