Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006
for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …