---
title: Swaption and term structures of volatility risk premiums
url: https://www.ml-quant.com/papers/ssrn/4597776/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4597776
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4597776
featured: 2023-10-12
citations: 0
topic: Derivatives & Volatility
---


# Swaption and term structures of volatility risk premiums

The research investigates volatility risk premiums in the swaption market, concluding that a strategy that takes on both volatility and jump risks yields a higher Sharpe ratio during periods of low interest rates.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4597776
- Identifier: SSRN 4597776
- Released: 2023-10-10
- First featured: Quant Letter No. 20 (2023-10-12): https://www.ml-quant.com/issues/2023-10-12/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Robust option pricing with volatility term structure -- An empirical study for variance options](https://www.ml-quant.com/papers/arxiv/2312.09201/): The research examines the robust option pricing issue, discovering that adding more information does not enhance the robust pricing bounds, contrary to popular belief.
- [Neural Term Structure of Additive Process for Option Pricing](https://www.ml-quant.com/papers/arxiv/2408.01642/): The research introduces the neural term structure model for option pricing, providing benefits in creating the risk-neutral measure, pricing formula, and fitting the implied volatility surface.
- [Bond futures: Delivery Option with Term Structure Modelling](https://www.ml-quant.com/papers/ssrn/4542275/): Delivery & Term Structure Modeling: The article expands a method for swap rate products to include futures, enabling the study of volatility and correlations on bond futures valuation and risk management.
- [Political Uncertainty and VIX Futures](https://www.ml-quant.com/papers/ssrn/4518944/): The research identifies a link between the 2020 U.S. presidential election and the VIX futures term structure, with political uncertainty heightening investors' worries about anticipated market uncertainty.
- [Joint calibration of the volatility surface and variance term structure](https://www.ml-quant.com/papers/arxiv/2509.08096/): The article suggests a calibration framework for complex option pricing models that simultaneously fits market option prices and variance term structure, enhancing the precision of model-implied variance term structures.
- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.