Quadratic variance swap models
Damir Filipović, Elise Gourier, Loriano Mancini
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Filipović, Damir ; Gourier, Elise ; Mancini, Loriano |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 1, p. 44-68
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| Subject: | Stochastic volatility | Variance swap | Quadratic term structure | Quadratic jump-diffusion | Dynamic optimal portfolio | Swap | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.08.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011589703