This paper examines variance swap pricing using a model that integrates three major features of financial assets …, namely the mean reversion in asset price, multi-factor stochastic volatility (SV) and simultaneous jumps in prices and … volatility factors. Closed-form solutions are derived for vanilla variance swaps and gamma swaps while the solutions for corridor …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the …