HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
type: Item
instance of: scholarly article
title: HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
zbMATH Open document ID: 1282.91299
DOI: 10.1142/S0219024911006784
author: José Da Fonseca
author: Martino Grasselli
author: Florian Ielpo
published in: International Journal of Theoretical and Applied Finance
publication date: 2011-11-22T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5976537
zbMATH Keywords: Wishart affine stochastic correlation model
zbMATH Keywords: complete and incomplete markets
zbMATH Keywords: variance swaps
zbMATH Keywords: Fourier transform
MaRDI profile type: Publication
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full work available at URL: s0219024911006784
OpenAlex ID: W3122132986
description: scientific article