Indifference Price and Optimal Hedging Performance for Variance Swaps

Indifference Price and Optimal Hedging Performance for Variance Swaps

Manylion Llyfryddiaeth
Prif Awdur:	Chassenieux, T
Fformat:	Traethawd Ymchwil
Cyhoeddwyd:	Mathematical Institute;University of Oxford 2009

Eitemau Tebyg

Variance Swaps in BM&F: Pricing and Viability of Hedge
gan: Richard John Brostowicz Junior, et al.
Cyhoeddwyd: (2010-07-01)

Model independent hedging strategies for variance swaps
gan: Hobson, D, et al.
Cyhoeddwyd: (2011)

Effect of Variance Swap in Hedging Volatility Risk
gan: Yang Shen
Cyhoeddwyd: (2020-07-01)

Arbitrage Bounds for Prices of Weighted Variance Swaps
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Cyhoeddwyd: (2010)

Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
gan: Zhang, C
Cyhoeddwyd: (2012)

Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives
gan: Anastiasiades, G
Cyhoeddwyd: (2009)

Analytical pricing formulas for hybrid variance swaps with regime-switching
gan: Roslan, Teh Raihana Nazirah, et al.
Cyhoeddwyd: (2017)

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
gan: Roslan, Teh Raihana Nazirah, et al.
Cyhoeddwyd: (2017)

On pricing variance swaps in discretely-sampled with high volatility model
gan: Youssef El-Khatib, Mariam Zuwaid AlShamsi, Jun Fan
Cyhoeddwyd: (2021-06-01)

A stochastic hybrid model for pricing forward-start variance swaps
gan: Roslan, Teh Raihana Nazirah
Cyhoeddwyd: (2017)

A Stochastic Hybrid Model for Pricing Forward-Start Variance Swaps
gan: Roslan, Teh Raihana Nazirah
Cyhoeddwyd: (2017)

Pricing variance swaps under stochastic volatility and stochastic interest rate
gan: Cao, Jiling, et al.
Cyhoeddwyd: (2016)

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
gan: Shican Liu, et al.
Cyhoeddwyd: (2021-01-01)

On Root's Barriers and Their Applications in Robust Pricing and Hedging of Variance Options
gan: Huang, D
Cyhoeddwyd: (2012)

On the pricing of forward-start variance swaps with stochastic volatility and stochastic interest rate
gan: Roslan, Teh Raihana Nazirah
Cyhoeddwyd: (2017)

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
gan: Anatoliy Swishchuk, et al.
Cyhoeddwyd: (2023-09-01)

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
gan: Anqi Zou, et al.
Cyhoeddwyd: (2023-06-01)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
gan: Pornnapat Yamphram, et al.
Cyhoeddwyd: (2023-02-01)

Utility indifference pricing with market incompleteness
gan: Monoyios, M
Cyhoeddwyd: (2008)

Discounted-likelihood valuation of variance and volatility swaps
gan: Napat Rujeerapaiboon, et al.
Cyhoeddwyd: (2025-01-01)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
gan: Cao, Jiling, et al.
Cyhoeddwyd: (2018)

Fair value hedges with swaps: accounting practice under IFRS
gan: V.S. Ambarchian
Cyhoeddwyd: (2019-12-01)

Variance minimization and the theory of inflation hedging
gan: Bodie, Zvi.
Cyhoeddwyd: (2009)

Mean‐variance hedging with basis risk
gan: Xue, Xiaole, et al.
Cyhoeddwyd: (2021)

Relaxing the Assumptions of Minimum-Variance Hedging
gan: Sergio H. Lence
Cyhoeddwyd: (1996-07-01)

Time inconsistent portfolio selection and indifference pricing
gan: Li, S
Cyhoeddwyd: (2017)

Mean-variance future hedging for security portfolio
gan: A K Kerimov
Cyhoeddwyd: (2014-12-01)

Pseudo linear pricing rule for utility indifference valuation
gan: Henderson, V, et al.
Cyhoeddwyd: (2014)

Cash flow hedges using interest rate swaps: accounting under IFRS
gan: V.S. Ambarchian
Cyhoeddwyd: (2020-06-01)

Price Uncertainty and Optimal Hedging in the Agricultural Market
gan: Nicolae ISTUDOR, et al.
Cyhoeddwyd: (2014-06-01)

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
gan: Pun, Chi Seng, et al.
Cyhoeddwyd: (2016)

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
gan: Chen Mao, et al.
Cyhoeddwyd: (2021-12-01)

Indifference Pricing in a Basis Risk Model with Stochastic Volatility
gan: Lam, K
Cyhoeddwyd: (2011)

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
gan: Hobson, D, et al.
Cyhoeddwyd: (2010)

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
gan: Philip Garcia, et al.
Cyhoeddwyd: (1994-07-01)

Utility indifference
gan: Armstrong, S
Cyhoeddwyd: (2010)

Extreme indifference
gan: Rocío Lorca, et al.
Cyhoeddwyd: (2022-04-01)

Indifference and Complicity
gan: Sylvia De Castro Korgi
Cyhoeddwyd: (2014-10-01)

On the pricing and hedging of volatility derivatives
gan: Howison, S, et al.
Cyhoeddwyd: (2003)

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
gan: Liyuan Jiang, et al.
Cyhoeddwyd: (2021-01-01)