Variance Swap Pricing under an Extension of Mean-Reverting Gaussian Model

International Journal of Mathematics Trends and Technology ◽

10.14445/22315373/ijmtt-v66i9p514 ◽

2020 ◽

Vol 66 (9) ◽

pp. 117-121

Author(s):

Rui Duan

Keyword(s):

Gaussian Model ◽

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Volatility Swap Pricing and Variance Swap Pricing under the Mean-Reverting Gaussian Model

International Journal of Mathematics Trends and Technology ◽

10.14445/22315373/ijmtt-v66i10p501 ◽

2020 ◽

Vol 66 (10) ◽

pp. 1-7

Author(s):

Rui Duan

Keyword(s):

Gaussian Model ◽

Variance Swap ◽

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Multidimensional, Nonthreshold Gaussian Model of Source Memory

PsycEXTRA Dataset ◽

10.1037/e537052012-439 ◽

2004 ◽

Author(s):

William P. Banks ◽

Clayton Stephenson ◽

Nisha Gottfredson ◽

Andrew A. Sparrow

Keyword(s):

Source Memory ◽

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Weakly Non-Gaussian Model of Wave Height Distribution for Nonlinear Random Waves

Coastal Engineering 1996 ◽

10.1061/9780784402429.067 ◽

1997 ◽

Author(s):

Nobuhito Mori ◽

Takashi Yasuda

Keyword(s):

Wave Height ◽

Gaussian Model ◽

Height Distribution ◽

Random Waves ◽

Wave Height Distribution ◽

Nonlinear Random Waves ◽

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Multiple Speaker Localization using Mixture of Gaussian Model with Manifold-based Centroids

2020 28th European Signal Processing Conference (EUSIPCO) ◽

10.23919/eusipco47968.2020.9287796 ◽

2021 ◽

Author(s):

Avital Bross ◽

Bracha Laufer-Goldshtein ◽

Sharon Gannot

Keyword(s):

Gaussian Model ◽

Speaker Localization ◽

Mixture Of Gaussian ◽

Mixture Of Gaussian Model

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Statistical Non-Gaussian Model of Sea Surface with Anisotropic Spectrum for Wave Scattering Theory. Part II

Progress In Electromagnetics Research ◽

10.2528/pier9812023a ◽

1999 ◽

Vol PIER 22 ◽

pp. 293-313

Author(s):

V. I. Tatarskii ◽

V. V. Tatarskii

Keyword(s):

Scattering Theory ◽

Wave Scattering ◽

Gaussian Model ◽

Sea Surface ◽

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Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

The Journal of Credit Risk ◽

10.21314/jcr.2013.161 ◽

2013 ◽

Vol 9 (2) ◽

pp. 68-81

Author(s):

Rafael Rodrigues Troiani

Keyword(s):

Credit Card ◽

Gaussian Model ◽

Probability Of Default ◽

Inverse Gaussian

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An Analytic Formula for the Delta of Variance Swap

SSRN Electronic Journal ◽

10.2139/ssrn.1276326 ◽

2008 ◽

Author(s):

Benoit Coulombe ◽

Alexander Marini ◽

Ararat Yesayan

Keyword(s):

Analytic Formula ◽

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Fast Calibration of Interest Rate Claims in the Quadratic Gaussian Model: 1 The Caplets

SSRN Electronic Journal ◽

10.2139/ssrn.1361609 ◽

2009 ◽

Author(s):

Daniel Alexandre Bloch ◽

Samson Assefa

Keyword(s):

Interest Rate ◽

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Delta-Hedging and Variance Swap Replication

SSRN Electronic Journal ◽

10.2139/ssrn.3442808 ◽

2019 ◽

Author(s):

Frido Rolloos

Keyword(s):

Variance Swap ◽

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

SSRN Electronic Journal ◽

10.2139/ssrn.3571429 ◽

2020 ◽

Author(s):

Maria Elvira Mancino ◽

Simone Scotti ◽

Giacomo Toscano

Keyword(s):

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