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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Oil, foreign exchange swaps and interest rates in the GCC countries
Al-Maskati, Nawaf - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 8, pp. 2388-2406
Persistent link: https://www.econbiz.de/10013190369
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Valuation, hedging, and bounds of swaps under multi-factor BNS-type stochastic volatility models
Issaka, Aziz - In: Annals of financial economics 15 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012642967
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Model-independent lower bound on variance SWAPS
Kahalé, Nabil - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 939-961
Persistent link: https://www.econbiz.de/10011583815
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna - In: Applied mathematical finance 18 (2011) 1/2, pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
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Herding and speculation in the crude oil market
Brunetti, Celso; Buyuksahin, Bahattin; Harris, Jeffrey H. - In: The energy journal 34 (2013) 3, pp. 83-104
Persistent link: https://www.econbiz.de/10009771883