Indifference Price and Optimal Hedging Performance for Variance Swaps

Indifference Price and Optimal Hedging Performance for Variance Swaps

ग्रंथसूची विवरण
मुख्य लेखक:	Chassenieux, T
स्वरूप:	थीसिस
प्रकाशित:	Mathematical Institute;University of Oxford 2009

समान संसाधन

Variance Swaps in BM&F: Pricing and Viability of Hedge
द्वारा: Richard John Brostowicz Junior, और अन्य
प्रकाशित: (2010-07-01)

Model independent hedging strategies for variance swaps
द्वारा: Hobson, D, और अन्य
प्रकाशित: (2011)

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

Arbitrage Bounds for Prices of Weighted Variance Swaps
द्वारा: Davis, M, और अन्य
प्रकाशित: (2010)

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

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

Analytical pricing formulas for hybrid variance swaps with regime-switching
द्वारा: Roslan, Teh Raihana Nazirah, और अन्य
प्रकाशित: (2017)

Analytical Pricing Formulas for Hybrid Variance Swaps with Regime-Switching
द्वारा: Roslan, Teh Raihana Nazirah, और अन्य
प्रकाशित: (2017)

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

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

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

Pricing variance swaps under stochastic volatility and stochastic interest rate
द्वारा: Cao, Jiling, और अन्य
प्रकाशित: (2016)

Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
द्वारा: Shican Liu, और अन्य
प्रकाशित: (2021-01-01)

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

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

Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities
द्वारा: Anatoliy Swishchuk, और अन्य
प्रकाशित: (2023-09-01)

Pricing Variance Swaps under MRG Model with Regime-Switching: Discrete Observations Case
द्वारा: Anqi Zou, और अन्य
प्रकाशित: (2023-06-01)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
द्वारा: Pornnapat Yamphram, और अन्य
प्रकाशित: (2023-02-01)

Utility indifference pricing with market incompleteness
द्वारा: Monoyios, M
प्रकाशित: (2008)

Discounted-likelihood valuation of variance and volatility swaps
द्वारा: Napat Rujeerapaiboon, और अन्य
प्रकाशित: (2025-01-01)

Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching
द्वारा: Cao, Jiling, और अन्य
प्रकाशित: (2018)

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

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

Mean‐variance hedging with basis risk
द्वारा: Xue, Xiaole, और अन्य
प्रकाशित: (2021)

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

Time inconsistent portfolio selection and indifference pricing
द्वारा: Li, S
प्रकाशित: (2017)

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

Pseudo linear pricing rule for utility indifference valuation
द्वारा: Henderson, V, और अन्य
प्रकाशित: (2014)

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

Price Uncertainty and Optimal Hedging in the Agricultural Market
द्वारा: Nicolae ISTUDOR, और अन्य
प्रकाशित: (2014-06-01)

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
द्वारा: Pun, Chi Seng, और अन्य
प्रकाशित: (2016)

A Closed-Form Pricing Formula for Log-Return Variance Swaps under Stochastic Volatility and Stochastic Interest Rate
द्वारा: Chen Mao, और अन्य
प्रकाशित: (2021-12-01)

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

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
द्वारा: Hobson, D, और अन्य
प्रकाशित: (2010)

The Use of Mean-Variance for Commodity Futures and Options Hedging Decisions
द्वारा: Philip Garcia, और अन्य
प्रकाशित: (1994-07-01)

Utility indifference
द्वारा: Armstrong, S
प्रकाशित: (2010)

Extreme indifference
द्वारा: Rocío Lorca, और अन्य
प्रकाशित: (2022-04-01)

Indifference and Complicity
द्वारा: Sylvia De Castro Korgi
प्रकाशित: (2014-10-01)

On the pricing and hedging of volatility derivatives
द्वारा: Howison, S, और अन्य
प्रकाशित: (2003)

A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
द्वारा: Liyuan Jiang, और अन्य
प्रकाशित: (2021-01-01)