Consistent variance curve models

DOI10.1007/s00780-006-0008-2zbMath1101.91031OpenAlexW2098038575MaRDI QIDQ854272

Hans Buehler

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0008-2

zbMATH Keywords

market modelsvariance swapsarbitrage-free term structure dynamicsconsistent parameterizationsHeath-Jarrow-Morton theoryoptions on variance

Mathematics Subject Classification ID

Related Items (29)

ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL ⋮ Spectral methods for volatility derivatives ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL ⋮ Probabilistic aspects of finance ⋮ Forward Variance Dynamics: Bergomi’s Model Revisited ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Regime-switching stochastic volatility model: estimation and calibration to VIX options ⋮ Optimal portfolios in commodity futures markets ⋮ A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities ⋮ Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models ⋮ Variance swap dynamics ⋮ FORWARD AND FUTURE IMPLIED VOLATILITY ⋮ Model-free CPPI ⋮ A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES ⋮ Affine Variance Swap Curve Models ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Infinite-dimensional polynomial processes ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS ⋮ Market-based estimation of stochastic volatility models ⋮ Fast Ninomiya–Victoir calibration of the double-mean-reverting model ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic implied volatility. A factor-based model.
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• On the geometry of the term structure of interest rates
• Stochastic Equations in Infinite Dimensions
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A market model for stochastic implied volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Expensive martingales
• Stochastic finance. An introduction in discrete time
• Consistency problems for Heath-Jarrow-Morton interest rate models

This page was built for publication: Consistent variance curve models