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The joint distribution of years lived in good and poor health. [PDF]
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Alpha phase-coding supports feature binding during working memory maintenance
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A Note on Variance Swap Greeks
The Journal of Derivatives, 2023This article provides closed-form expressions for spatial Greeks (Delta and Gamma) for discretely monitored realized variance swaps under several common parametric model assumptions.
J Lars Kirkby +2 more
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Quantitative Finance, 2013
We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of ...
Kai Detlefsen, Wolfgang Karl Härdle
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We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of ...
Kai Detlefsen, Wolfgang Karl Härdle
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Delta-Hedging and Variance Swap Replication
SSRN Electronic Journal, 2019Papers treating variance swap replication often mention that the replicating portfolio consists of a static position in an appropriately weighted continuous strip of options, and a dynamic position in the underlying asset that can be regarded as the delta-hedge of the strip of options.
Frido Rolloos
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Heston Model: The Variance Swap Calibration
SSRN Electronic Journal, 2013This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the future expected total variance, inferred from the ...
Florence Guillaume, Wim Schoutens
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Affine Variance Swap Curve Models [PDF]
SSRN Electronic Journal, 2012 This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor models. We propose a novel drift parametrization which assures that the components of the state process can be matched with any pre-specified points on the variance swap curve.
Damir Filipović, Damir Filipović
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Simulation of Stochastic Volatility Variance Swap
2018This paper aims to propose efficient mathematical model of variance swap to study the effect of stochastic volatility in different time-scales on the option pricing. Two types of stochastic volatility, including Ornstein-Uhlenbeck (OU) process and Cox-Ingersoll-Ross (CIR) process are considered. Analytical solution of CIR model is presented. For the OU
Shican Liu +4 more
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Swap rate variance swaps [PDF]
Quantitative Finance, 2008 We study the hedging and valuation of generalized variance swaps defined on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is stochastic.
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