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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75
Persistent link: https://www.econbiz.de/10011634054
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Variance risk : a bird's eye view
Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
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Model-independent lower bound on variance SWAPS
Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961
Persistent link: https://www.econbiz.de/10011583815
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Quadratic variance swap models
Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
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Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
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Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197
Persistent link: https://www.econbiz.de/10011915585