HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

DOI10.1142/S0219024911006784zbMath1282.91299MaRDI QIDQ3100994

Martino Grasselli, Florian Ielpo, José Da Fonseca

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006784

zbMATH Keywords

Fourier transform; variance swaps; Wishart affine stochastic correlation model; complete and incomplete markets

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity, Optimal investment under multi-factor stochastic volatility, THE WISHART SHORT RATE MODEL, International portfolio choice under multi-factor stochastic volatility, Risk premiums in a simple market model for implied volatility, On moment non-explosions for Wishart-based stochastic volatility models, Stochastic covariance and dimension reduction in the pricing of basket options, Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models, Affine processes on positive semidefinite matrices, Optimal portfolios when variances and covariances can jump, The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, Pricing range notes within Wishart affine models, The Explicit Laplace Transform for the Wishart Process

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