Variance swap dynamics

DOI10.1080/14697688.2012.749420MaRDI QIDQ5397410zbMATH OpenOpenAlexFDO

Authors Kai Detlefsen, Wolfgang K. Härdle

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.749420

zbMATH Keywords

empirical financeequitiesterm structurevolatility modelling

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Consistent variance curve models
• Semiparametric modeling of implied volatility.

Cited in

(11)

• On volatility swaps for stock market forecast: application example CAC 40 French Index
• Market-based estimation of stochastic volatility models
• A semiparametric factor model for CDO surfaces dynamics
• Swap rate variance swaps
• Volatility Investing with Variance Swaps
• An investigation of model risk in a market with jumps and stochastic volatility
• Arithmetic variance swaps
• GARCH and volatility swaps
• Affine variance swap curve models
• Weighted variance swaps hedge against impermanent loss
• Consistent variance curve models

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