Swap rate variance swaps

We study the hedging and valuation of generalized variance swaps defined on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is stocha...

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Detalles Bibliográficos
Autor principal: Merener, N.
Formato: JOUR
Materias:
Derivatives hedging
Interest rate derivatives
Stochastic volatility
Volatility modelling
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_14697688_v12_n2_p249_Merener
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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