HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

DOI10.1142/S0219024911006784zbMath1282.91299OpenAlexW3122132986MaRDI QIDQ3100994

Martino Grasselli, Florian Ielpo, José Da Fonseca

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006784

zbMATH Keywords

Fourier transformvariance swapsWishart affine stochastic correlation modelcomplete and incomplete markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (13)

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity ⋮ Optimal investment under multi-factor stochastic volatility ⋮ Optimal portfolios when variances and covariances can jump ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ Stochastic covariance and dimension reduction in the pricing of basket options ⋮ International portfolio choice under multi-factor stochastic volatility ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ Risk premiums in a simple market model for implied volatility ⋮ THE WISHART SHORT RATE MODEL ⋮ Affine processes on positive semidefinite matrices ⋮ Pricing range notes within Wishart affine models

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