Add to ORKGThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market price of variance risk makes it optimal for an investor to take short positions in a short-term variance swap contract, long positions in a long-term variance swap contract, and short positions in the stock inde
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
This article explores the premium for bearing the variance risk of the VIX index, called the varianc...
In this thesis, the research focuses on the development and implementation of two hybrid models for ...
This paper performs specification analysis on the term structure of variance swap rates on the S&P 5...
We propose a simple and e cient way of forecasting the term structure of swap rates and we demonstr...
Recent research on unspanned stochastic variance raises the possibility that interest rate derivativ...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
AbstractWe introduce a novel class of term structure models for variance swaps. The multivariate sta...
This paper studies the determinants of the variance risk premium and discusses the hedging possibili...
2017-06-19In general, investors are recognized to be risk averse. Investors favor higher expected re...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
In this thesis, the research focuses on the development and implementation of two hybrid models for ...
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find si...
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find si...
Variance swaps have gained an immense recognition in the financial market based on the tremendous sp...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
This article explores the premium for bearing the variance risk of the VIX index, called the varianc...
In this thesis, the research focuses on the development and implementation of two hybrid models for ...
This paper performs specification analysis on the term structure of variance swap rates on the S&P 5...
We propose a simple and e cient way of forecasting the term structure of swap rates and we demonstr...
Recent research on unspanned stochastic variance raises the possibility that interest rate derivativ...
In this dissertation, the price of variance swaps under stochastic volatility models based on the w...
AbstractWe introduce a novel class of term structure models for variance swaps. The multivariate sta...
This paper studies the determinants of the variance risk premium and discusses the hedging possibili...
2017-06-19In general, investors are recognized to be risk averse. Investors favor higher expected re...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
In this thesis, the research focuses on the development and implementation of two hybrid models for ...
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find si...
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find si...
Variance swaps have gained an immense recognition in the financial market based on the tremendous sp...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
This article explores the premium for bearing the variance risk of the VIX index, called the varianc...
In this thesis, the research focuses on the development and implementation of two hybrid models for ...