Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Year of publication: |
2012
|
---|---|
Authors: | Salvi, Giovanni |
Other Persons: | Swishchuk, Anatoliy V. (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Korrelation | Correlation | Finanzmarkt | Financial market | Swap | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (31 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 23, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2065543 [DOI] |
Classification: | g63 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Analytic Approximations for Multi-Asset Option Pricing
Alexander, Carol, (2010)
-
Meshfree Approximation for Multi-Asset Options
Hanert, Emmanuel, (2009)
-
Ma, Jingtang, (2019)
- More ...
-
Covariance and Correlation Swaps for Financial Markets with Markov-Modulated Volatilities
Salvi, Giovanni, (2017)
-
COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
SALVI, GIOVANNI, (2014)
-
Salvi, Giovanni, (2012)
- More ...