HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
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Publication:3100994
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
Fourier transform; variance swaps; Wishart affine stochastic correlation model; complete and incomplete markets
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