HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994)

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HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
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    title
    HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (English)
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    author
    José Da Fonseca
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    Martino Grasselli
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    Florian Ielpo
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    publication date
    22 November 2011
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    zbMATH DE Number
    5976537
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    zbMATH Keywords
    Wishart affine stochastic correlation model
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    complete and incomplete markets
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    variance swaps
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    Fourier transform
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