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...
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| フォーマット: | 学位論文 |
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University of Oxford;Mathematical Institute
2012
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