under Heston stochastic volatility, the associated option deltas, gammas and vegas, and CDS pricing that our method … management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …