Discrete variance swap in a rough volatility economy

2021 ◽  
Author(s):  
Yiru Xi ◽  
Hoi Ying Wong
Keyword(s):  
Variance Swap ◽  
Rough Volatility

An Analytic Formula for the Delta of Variance Swap

2008 ◽  
Author(s):  
Benoit Coulombe ◽  
Alexander Marini ◽  
Ararat Yesayan
Keyword(s):  
Analytic Formula ◽  
Variance Swap

Delta-Hedging and Variance Swap Replication

2019 ◽  
Author(s):  
Frido Rolloos
Keyword(s):  
Variance Swap ◽  
Delta Hedging

Is the Variance Swap Rate Affine in the Spot Variance? Evidence From S&P500 Data

2020 ◽  
Author(s):  
Maria Elvira Mancino ◽  
Simone Scotti ◽  
Giacomo Toscano
Keyword(s):  
Variance Swap

Variance swap dynamics

2013 ◽  
Vol 13 (5) ◽  
pp. 675-685 ◽  
Author(s):  
K. Detlefsen ◽  
W. K. Härdle
Keyword(s):  
Variance Swap

scholarly journals Variance swap volatility dispersion

2006 ◽  
Vol 11 (4) ◽  
pp. 334-344 ◽  
Author(s):  
Izzy Nelken
Keyword(s):  
Variance Swap

A fast algorithm for simulation of rough volatility models

2021 ◽  
pp. 1-16
Author(s):  
Jingtang Ma ◽  
Haofei Wu
Keyword(s):  
Fast Algorithm ◽  
Volatility Models ◽  
Rough Volatility

scholarly journals Variance Swap Replication: Discrete or Continuous?

2015 ◽  
Author(s):  
Fabien Le Floc'h
Keyword(s):  
Variance Swap

Pricing Under Rough Volatility

2015 ◽  
Author(s):  
Christian Bayer ◽  
Peter K. Friz ◽  
Jim Gatheral
Keyword(s):  
Rough Volatility

VIX as a Variance Swap

2012 ◽  
Author(s):  
Richard V. Diamond
Keyword(s):  
Variance Swap
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