Swap rate variance swaps

DOI10.1080/14697688.2010.497493zbMath1241.91118OpenAlexW3126032579MaRDI QIDQ2893208

Nicolas Merener

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.497493

zbMATH Keywords

stochastic volatilityinterest rate derivativesvolatility modellingderivatives hedging

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Fed funds futures variance futures

Cites Work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Pricing options on realized variance
• Spectral methods for volatility derivatives
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• On the pricing and hedging of volatility derivatives

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