An Analytic Formula for the Delta of Variance Swap

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

An analytic formula for the delta of variance swap

2009 ◽  
Vol 1 (3) ◽  
pp. 133-135 ◽  
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

scholarly journals On a class of analytic functions related to Robertson’s formula and subordination

2021 ◽  
Vol 27 (1) ◽  
Author(s):  
Adam Lecko ◽  
Gangadharan Murugusundaramoorthy ◽  
Srikandan Sivasubramanian
Keyword(s):  
Integral Representation ◽  
Analytic Functions ◽  
Boundary Point ◽  
Unit Disc ◽  
Starlike Functions ◽  
Analytic Formula ◽  
Growth Theorem

AbstractIn this paper, we define and study a class of analytic functions in the unit disc by modification of the well-known Robertson’s analytic formula for starlike functions with respect to a boundary point combined with subordination. An integral representation and growth theorem are proved. Early coefficients and the Fekete–Szegö functional are also estimated.

Discrete variance swap in a rough volatility economy

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

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

Analytic formula forB(E2) values in even-even nuclei withA>60

1991 ◽  
Vol 43 (5) ◽  
pp. 2279-2283 ◽  
Author(s):  
A. Wolf ◽  
O. Scholten ◽  
R. F. Casten
Keyword(s):  
Analytic Formula

AN ANALYTIC FORMULA OF THE CURRENT DISTRIBUTION FOR THE VLF HORIZONTAL WIRE ANTENNA ABOVE LOSSY HALF-SPACE

2008 ◽  
Vol 1 ◽  
pp. 149-158 ◽  
Author(s):  
Hai Tao Chen ◽  
Jian-Xin Luo ◽  
Da-Kui Zhang
Keyword(s):  
Half Space ◽  
Current Distribution ◽  
Analytic Formula ◽  
Wire Antenna ◽  
Horizontal Wire

scholarly journals Variance Swap Replication: Discrete or Continuous?

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