Indifference Price and Optimal Hedging Performance for Variance Swaps

Indifference Price and Optimal Hedging Performance for Variance Swaps

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας:	Chassenieux, T
Μορφή:	Thesis
Έκδοση:	Mathematical Institute;University of Oxford 2009

Παρόμοια τεκμήρια

Variance Swaps in BM&F: Pricing and Viability of Hedge
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Model independent hedging strategies for variance swaps
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Έκδοση: (2011)

Effect of Variance Swap in Hedging Volatility Risk
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Arbitrage Bounds for Prices of Weighted Variance Swaps
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Έκδοση: (2010)

Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
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Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives
ανά: Anastiasiades, G
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Analytical pricing formulas for hybrid variance swaps with regime-switching
ανά: Roslan, Teh Raihana Nazirah, κ.ά.
Έκδοση: (2017)

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
ανά: Roslan, Teh Raihana Nazirah, κ.ά.
Έκδοση: (2017)

On pricing variance swaps in discretely-sampled with high volatility model
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Έκδοση: (2021-06-01)

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

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

Pricing variance swaps under stochastic volatility and stochastic interest rate
ανά: Cao, Jiling, κ.ά.
Έκδοση: (2016)

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
ανά: Shican Liu, κ.ά.
Έκδοση: (2021-01-01)

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

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

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
ανά: Anatoliy Swishchuk, κ.ά.
Έκδοση: (2023-09-01)

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
ανά: Anqi Zou, κ.ά.
Έκδοση: (2023-06-01)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
ανά: Pornnapat Yamphram, κ.ά.
Έκδοση: (2023-02-01)

Utility indifference pricing with market incompleteness
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Discounted-likelihood valuation of variance and volatility swaps
ανά: Napat Rujeerapaiboon, κ.ά.
Έκδοση: (2025-01-01)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
ανά: Cao, Jiling, κ.ά.
Έκδοση: (2018)

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

Variance minimization and the theory of inflation hedging
ανά: Bodie, Zvi.
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Mean‐variance hedging with basis risk
ανά: Xue, Xiaole, κ.ά.
Έκδοση: (2021)

Relaxing the Assumptions of Minimum-Variance Hedging
ανά: Sergio H. Lence
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Time inconsistent portfolio selection and indifference pricing
ανά: Li, S
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Mean-variance future hedging for security portfolio
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Pseudo linear pricing rule for utility indifference valuation
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Cash flow hedges using interest rate swaps: accounting under IFRS
ανά: V.S. Ambarchian
Έκδοση: (2020-06-01)

Price Uncertainty and Optimal Hedging in the Agricultural Market
ανά: Nicolae ISTUDOR, κ.ά.
Έκδοση: (2014-06-01)

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
ανά: Pun, Chi Seng, κ.ά.
Έκδοση: (2016)

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
ανά: Chen Mao, κ.ά.
Έκδοση: (2021-12-01)

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

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
ανά: Hobson, D, κ.ά.
Έκδοση: (2010)

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
ανά: Philip Garcia, κ.ά.
Έκδοση: (1994-07-01)

Utility indifference
ανά: Armstrong, S
Έκδοση: (2010)

Extreme indifference
ανά: Rocío Lorca, κ.ά.
Έκδοση: (2022-04-01)

Indifference and Complicity
ανά: Sylvia De Castro Korgi
Έκδοση: (2014-10-01)

On the pricing and hedging of volatility derivatives
ανά: Howison, S, κ.ά.
Έκδοση: (2003)

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
ανά: Liyuan Jiang, κ.ά.
Έκδοση: (2021-01-01)