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Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716

Persistent link: https://www.econbiz.de/10010190886

Implications for hedging of the choice of driving process for one-factor Markov-functional models

Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51

Persistent link: https://www.econbiz.de/10009783994

Forward variance dynamics : Bergomi's model revisited

Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107

Persistent link: https://www.econbiz.de/10010351856

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

Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models

Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012642967

Oil, foreign exchange swaps and interest rates in the GCC countries

Al-Maskati, Nawaf - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 8, pp. 2388-2406

Persistent link: https://www.econbiz.de/10013190369

Volatility Markets : Consistent Modelling, Hedging and Practical Implementation (Dissertation)

Buehler, Hans - 2010

This is the revised version of my dissertation. The dissertation covers pricing and hedging of volatiluty derivatives …, Dupire, Heston), Heston-type models with semi-closed forms, algorithms to perform parameter hedging with linear programming …

Persistent link: https://www.econbiz.de/10014218997

Unifying Variance Swap Term Structures, SPX and VIX Derivatives

Zhao, Bo - 2014

We propose a term structure function, a two-factor variance process and a return process to jointly price SPX and VIX derivatives. The distinctive feature of the variance model is that the factor coefficients are time-varying and they are bonded with the term structure of variance swaps. The...

Persistent link: https://www.econbiz.de/10013066807

Smile Pricing and Hedging Caps and Swaptions in Libor Market Model and Its Simple Extension

Li, Hongzhu - 2013

market model prices OTC cap exactly and prices OTC swaptions with errors well below two basis points. Tests for the hedging … performance show that the deterministic LIBOR market model is more effective in hedging in- and at-the money OTC caps and …

Persistent link: https://www.econbiz.de/10013071703

Model-Free Pricing and Hedging of Forward Starting Volatility Swaps

Rolloos, Frido - 2019

for pricing and hedging of forward starting volatility swaps …

Persistent link: https://www.econbiz.de/10012899330