Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options

In the practice of quantitative finance, model risk has raised significant concern and thus model-independent hedging is of particular interest to both academia and industry. In this thesis, we review two methods of constructing robust and model-independent hedging portfolios of variance swaps. One...

Descrición completa

Detalles Bibliográficos
Autor Principal: Zhang, C
Formato: Thesis
Publicado: University of Oxford;Mathematical Institute 2012