Unspanned stochastic volatility from an empirical and practical perspective
Alex Backwell
| Year of publication: |
2021
|
|---|---|
| Authors: | Backwell, Alex |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 122.2021, p. 1-14
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| Subject: | Interest-rate volatility | Unspanned stochastic volatility | Volatility risk | Hedging | Market incompleteness | Term structure models | Volatilität | Volatility | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Theorie | Theory | Derivat | Derivative | Risikoprämie | Risk premium | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105993 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659269