Hedging (co)variance risk with variance swaps
José da Fonseca; Martino Grasselli; Florian Ielpo
| Year of publication: |
2011
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|---|---|
| Authors: | Fonseca, José da ; Grasselli, Martino ; Ielpo, Florian |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 6, p. 899-943
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| Subject: | Wishart Affine Stochastic Correlation model | complete and incomplete markets | variance swaps | Fourier transform | Hedging | Swap | Stochastischer Prozess | Stochastic process | Unvollkommener Markt | Incomplete market | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection | Korrelation | Correlation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009380996