There Is no Theory-Free Measure of "Swaps" in Visual Working Memory Experiments. [PDF]
Comput Brain Behav, 2023 Williams JR, Robinson MM, Brady TF.
europepmc +1 more source
Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps [PDF]
, 2011 Wendong Zheng, Yue Kuen Kwok
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Dynamic hedging of portfolio credit derivatives [PDF]
We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across a variety of models and hedging methods during the recent credit crisis.
Rama Cont, Yu Hang Kan
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Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap) [PDF]
, 2012 Ghada Zgolli
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A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY [PDF]
, 2014 Liwei Zhang
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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
, 2018 Liyuan Jiang +4 more
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RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES [PDF]
, 2016 Wendong Zheng +2 more
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Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities [PDF]
, 2023 Anatoliy Swishchuk, Sebastián Franco
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Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate
, 2014 Jiling Cao +2 more
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A Closed-Form Exact Solution for Pricing Variance Swaps With Stochastic Volatility
, 2008 Song‐Ping Zhu, Guanghua Lian
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