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~subject:"Variance swap"
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Variance swap
Swap
37
Volatility
36
Volatilität
36
Option pricing theory
27
Optionspreistheorie
27
variance swap
26
Stochastic process
19
Stochastischer Prozess
19
Portfolio selection
12
Portfolio-Management
12
Hedging
10
Theorie
10
Theory
9
Analysis of variance
8
Risikoprämie
8
Risk premium
8
Variance Swap
8
Varianzanalyse
8
Derivat
7
Derivative
7
Stochastic volatility
7
Börsenkurs
6
Heston model
6
Share price
6
Forecasting model
5
Japan
5
Lévy process
5
Option trading
5
Optionsgeschäft
5
Prognoseverfahren
5
VIX
5
Variance risk premium
5
Experiment
4
Option pricing
4
variance risk premium
4
volatility risk premium
4
volatility swap
4
Analysis
3
CAPM
3
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Undetermined
23
Type of publication
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Article
28
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Article in journal
20
Aufsatz in Zeitschrift
20
Language
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English
20
Undetermined
8
Author
All
Kim, Jeong-Hoon
5
Kim, See-Woo
4
Carr, Peter
2
Chung, Tsz-Kin
2
Itkin, Andrey
2
Lee, Roger
2
López, Raquel
2
Mancini, Loriano
2
Nagashima, Kazuki
2
Tanaka, Keiichi
2
Aly, Sidi Mohamed Ould
1
Ammann, Manuel
1
Aït-Sahalia, Yacine
1
Buesser, Ralf
1
Chen, Pengzhan
1
Chung, Shing Fung
1
Coqueret, Guillaume
1
Esparcia, Carlos
1
FUKASAWA, MASAAKI
1
Filipović, Damir
1
Gourier, Elise
1
Hafner, Reinhold
1
Han, Ah-Reum
1
Huang, Nan-Jing
1
Issaka, Aziz
1
JORDAN, RICHARD
1
Karamann, Mustafa
1
Kim, Hyun-Gyoon
1
Lazar, Emese
1
Mancino, M. E.
1
Muzzioli, Silvia
1
Pun, Chi Seng
1
Qi, Shuyuan
1
Scotti, S.
1
SenGupta, Indranil
1
TIER, CHARLES
1
Toscano, G.
1
Wallmeier, Martin
1
Wong, Hoi Ying
1
Wu, Bin
1
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European journal of operational research : EJOR
4
Applied mathematical finance
2
Computational economics
2
Finance and Stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Annals of finance
1
Asia-Pacific Financial Markets
1
Asia-Pacific financial markets
1
Computational Economics
1
Energy economics
1
Financial Markets and Portfolio Management
1
International journal of theoretical and applied finance
1
International review of economics & finance : IREF
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial economics
1
Review of Derivatives Research
1
Review of derivatives research
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The North American journal of economics and finance : a journal of theory and practice
1
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ECONIS (ZBW)
20
RePEc
8
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1
Variance swaps with mean reversion and multi-factor variance
Wu, Bin
;
Chen, Pengzhan
;
Ye, Wuyi
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
Saved in:
2
Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model
Kim, Hyun-Gyoon
;
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014534851
Saved in:
3
A closed form solution for pricing variance swaps under the rescaled double Heston model
Yoon, Youngin
;
Kim, Jeong-Hoon
- In:
Computational economics
61
(
2023
)
1
,
pp. 429-450
Persistent link: https://www.econbiz.de/10014228437
Saved in:
4
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
5
Analysis of the performance of volatility-based trading strategies on scheduled news announcement days : an international equity market perspective
López, Raquel
;
Esparcia, Carlos
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 32-54
Persistent link: https://www.econbiz.de/10012627756
Saved in:
6
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Saved in:
7
Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The European journal of finance
26
(
2020
)
17
,
pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
Saved in:
8
Is the
variance
swap
rate affine in the spot variance? : evidence from S&P500 data
Mancino, M. E.
;
Scotti, S.
;
Toscano, G.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 288-316
Persistent link: https://www.econbiz.de/10012425324
Saved in:
9
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
10
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
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