EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Wishart Affine Stochastic Correlation model"
Narrow search

Narrow search

Year of publication
Subject
All
Correlation 2 Fourier transform 2 Korrelation 2 Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Volatility 2 Volatilität 2 Wishart Affine Stochastic Correlation model 2 complete and incomplete markets 2 variance swaps 2 Analysis of variance 1 Derivat 1 Derivative 1 Hedging 1 Incomplete market 1 Method of moments 1 Moment non-explosions 1 Momentenmethode 1 Portfolio selection 1 Portfolio-Management 1 Pricing 1 Swap 1 Unvollkommener Markt 1 Varianzanalyse 1 Wishart affine stochastic correlation model 1 Wishart multidimensional stochastic volatility model 1
more ... less ...
Online availability
All
Undetermined 2
Type of publication
All
Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2
Language
All
English 2 Undetermined 1
Author
All
Fonseca, José da 2 FONSECA, JOSÉ DA 1 GRASSELLI, MARTINO 1 Grasselli, Martino 1 IELPO, FLORIAN 1 Ielpo, Florian 1
Published in...
All
European journal of operational research : EJOR 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
Saved in:
Cover Image
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
FONSECA, JOSÉ DA; GRASSELLI, MARTINO; IELPO, FLORIAN - In: International Journal of Theoretical and Applied … 14 (2011) 06, pp. 899-943
In this paper, we quantify the impact on the representative agent's welfare of the presence of derivative products spanning covariance risk. In an asset allocation framework with stochastic (co)variances, we allow the agent to invest not only in the stocks but also in the associated variance...
Persistent link: https://www.econbiz.de/10009320904
Saved in:
Cover Image
Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...