Academic Journal
A Comprehensive Analysis of Realized Skewness Trading.
| Τίτλος: | A Comprehensive Analysis of Realized Skewness Trading. |
|---|---|
| Συγγραφείς: | Ruan, Xinfeng1 (AUTHOR) Edwin.Ruan@xjtlu.edu.cn, Aschakulporn, Pakorn2 (AUTHOR), Zhang, Jin E.2 (AUTHOR) |
| Πηγή: | Journal of Futures Markets. Sep2026, Vol. 46 Issue 9, p1631-1659. 29p. |
| Θεματικοί όροι: | *Derivative securities, *Risk management in business, *Empirical research, *Interest rate swaps |
| Περίληψη: | This paper provides a comprehensive analysis of realized skewness trading, using analytical models, simulations, and empirical evidence. We highlight the importance of matching swap rates and realized measures in variance and skewness trading. A novel approach is introduced, employing swaps tied to the second and third moments of log returns over a future period. Our findings reveal that mismatches arise primarily from realized measures rather than from stable swap rates. We further propose that short‐term (e.g., 1 month) skewness swaps, based on daily returns, could serve as effective tools for managing realized jump risks. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: | Business Source Index |
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