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Unspanned stochastic volatility : evidence from hedging interest rate derivatives

Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378

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A simplified approach to approximate diffusion processes widely used in finance

Costabile, Massimo; Massabó, Ivar - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 65-85

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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

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Duration models, heterogeneous beliefs, and optimal trading

Heijden, Thijs van der - 2011

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Spot return volatility and hedging with futures contract : empirical evidence from the notional commodity futures indices of India

Santhosh Kumar, V. - In: Research in financial derivatives : commodity, equity, …, (pp. 259-281). 2011

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Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422

Persistent link: https://www.econbiz.de/10011372401

The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives

Harris, Geoffrey R.; Wu, Tao L.; Yang, Jiarui - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 93-127

Persistent link: https://www.econbiz.de/10011298489

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344235

Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

Persistent link: https://www.econbiz.de/10010528411

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723