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Affine Variance Swap Curve Models - MaRDI portal

Affine Variance Swap Curve Models (Q5746533)

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scientific article; zbMATH DE number 6259469
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English
Affine Variance Swap Curve Models
scientific article; zbMATH DE number 6259469

    Statements

    title
    Affine Variance Swap Curve Models (English)
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    author
    Damir Filipović
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    publication date
    19 February 2014
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    zbMATH Keywords
    affine variance swap rate factor models
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    variance swaps
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    VIX
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B70
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    60J25
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    zbMATH DE Number
    6259469
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    OpenAlex ID
    W3122023652
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