Swap rate variance swaps
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Recommendations
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Cites work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- On the pricing and hedging of volatility derivatives
- Pricing options on realized variance
- Spectral methods for volatility derivatives
Cited in
(14)- Interest rate swaps under CIR.
- Pricing generalized variance swaps under the Heston model with stochastic interest rates
- Minimal variance hedging in multicurve interest rate modeling
- Pricing and risk management of interest rate swaps
- The minimum variance hedge ratio under stochastic interest rates
- Moment swaps
- Fed funds futures variance futures
- Arithmetic variance swaps
- The Valuation and Hedging of Variable Rate Savings Accounts
- Hedging quantos, differential swaps and ratios
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- On the variance and skewness of the swap rate in a stochastic volatility interest rate model
- Weighted variance swaps hedge against impermanent loss
- Model-independent hedging strategies for variance swaps
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