Affine Variance Swap Curve Models

DOI10.1007/978-3-0348-0545-2_19zbMath1281.91163OpenAlexW3122023652MaRDI QIDQ5746533

Damir Filipović

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_19

zbMATH Keywords

variance swapsVIXaffine variance swap rate factor models

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Affine processes on positive semidefinite matrices
• Consistent variance curve models
• Term-structure models. A graduate course
• A YIELD‐FACTOR MODEL OF INTEREST RATES

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