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Swap rate variance swaps - MaRDI portal

Swap rate variance swaps (Q2893208)

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scientific article; zbMATH DE number 6050008
Language Label Description Also known as
English
Swap rate variance swaps
scientific article; zbMATH DE number 6050008

    Statements

    title
    Swap rate variance swaps (English)
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    author
    Nicolas Merener
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    publication date
    26 June 2012
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    zbMATH Keywords
    stochastic volatility
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    interest rate derivatives
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    derivatives hedging
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    volatility modelling
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    Identifiers

    zbMATH DE Number
    6050008
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    OpenAlex ID
    W3126032579
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