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Pietersz, Raoul; Regenmortel, Marcel van - In: Finance and stochastics 10 (2006) 4, pp. 507-528

Persistent link: https://www.econbiz.de/10003405645

An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Brigo, Damiano; El-Bachir, Naoufel - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 365-382

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Static replication of forward-start claims and realized variance swaps

Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131

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Volatility investing with variance swaps

Härdle, Wolfgang; Silyakova, Elena - 2010

investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative … swaps on DAX and its constituents during the 5-years period from 2004 to 2008. -- Conditional Variance Swap ; Corridor … Variance Swap ; Dispersion Trading ; Gamma Swap ; Variance Swap ; Volatility Replication ; Volatility Trading …