HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994): Difference between revisions

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+MaRDI publication profile
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Wishart processes
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+Optimal investment in derivative securities
@@ Property / cites work: Optimal investment in derivative securities / rank @@
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Option pricing when correlations are stochastic: an analytical framework
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+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
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+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+SOLVABLE AFFINE TERM STRUCTURE MODELS
@@ Property / cites work: SOLVABLE AFFINE TERM STRUCTURE MODELS / rank @@
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+Indifference Pricing and Hedging for Volatility Derivatives
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+Products of trees for investment analysis
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+Optimum consumption and portfolio rules in a continuous-time model
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