Indifference Price and Optimal Hedging Performance for Variance Swaps

Indifference Price and Optimal Hedging Performance for Variance Swaps

Xehetasun bibliografikoak
Egile nagusia:	Chassenieux, T
Formatua:	Thesis
Argitaratua:	Mathematical Institute;University of Oxford 2009

Antzeko izenburuak

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

Model independent hedging strategies for variance swaps
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Argitaratua: (2011)

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

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

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

Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives
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Argitaratua: (2009)

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

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

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

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

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

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

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
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Argitaratua: (2021-01-01)

On Root's Barriers and Their Applications in Robust Pricing and Hedging of Variance Options
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Argitaratua: (2012)

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

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

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
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Argitaratua: (2023-06-01)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
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Argitaratua: (2023-02-01)

Utility indifference pricing with market incompleteness
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Discounted-likelihood valuation of variance and volatility swaps
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Argitaratua: (2025-01-01)

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

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

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

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

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

Time inconsistent portfolio selection and indifference pricing
nork: Li, S
Argitaratua: (2017)

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

Pseudo linear pricing rule for utility indifference valuation
nork: Henderson, V, et al.
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Cash flow hedges using interest rate swaps: accounting under IFRS
nork: V.S. Ambarchian
Argitaratua: (2020-06-01)

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

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

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

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

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

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
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Utility indifference
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Extreme indifference
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Indifference and Complicity
nork: Sylvia De Castro Korgi
Argitaratua: (2014-10-01)

On the pricing and hedging of volatility derivatives
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A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
nork: Liyuan Jiang, et al.
Argitaratua: (2021-01-01)