Quadratic variance swap models
Year of publication: |
January 2016
|
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Authors: | Filipović, Damir ; Gourier, Elise ; Mancini, Loriano |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 1, p. 44-68
|
Subject: | Stochastic volatility | Variance swap | Quadratic term structure | Quadratic jump-diffusion | Dynamic optimal portfolio | Volatilität | Volatility | Swap | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
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