Quadratic variation, models, applications and lessons (Q2170296): Difference between revisions

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+On fractional Lévy processes: tempering, sample path properties and stochastic integration
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
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+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
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+Pricing options on realized variance
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+SELF-DECOMPOSABILITY AND OPTION PRICING
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+Hedging variance options on continuous semimartingales
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+Robust replication of volatility and hybrid derivatives on jump diffusions
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+Variance swaps on time-changed Lévy processes
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+Q2771113
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+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
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+Time Changes for Lévy Processes
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+Stochastic volatility, jumps and hidden time changes
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+Q5765710
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+Self‐similarity in long‐horizon returns
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+MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
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+OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES
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