Unspanned stochastic volatility from an empirical and practical perspective
Year of publication: |
2021
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Authors: | Backwell, Alex |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 122.2021, p. 1-14
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Subject: | Interest-rate volatility | Unspanned stochastic volatility | Volatility risk | Hedging | Market incompleteness | Term structure models | Volatilität | Volatility | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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