Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
Nelson-Siegel model.
JEL classification: G1, D4, C5
Keywords: Term structure; Variance swap curve; Heston model; Nelson … conclude that variance swap curve modeling seems
to be more difficult than yield curve forecasting. Moreover, we show that
the …,...,xn. The variance swap curve at this time is then given by
the mapping T → V(T)/T. We call V the variance curve and Vprime …