Unifying Variance Swap Term Structures, SPX and VIX Derivatives

SSRN Electronic Journal ◽

10.2139/ssrn.1988602 ◽

2011 ◽

Cited By ~ 1

Author(s):

Bo Zhao

Keyword(s):

Variance Swap ◽

Term Structures ◽

Vix Derivatives

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Portfolio losses in factor models: term structures and intertemporal loss dependence

The Journal of Credit Risk ◽

10.21314/jcr.2006.056 ◽

2006 ◽

Vol 2 (4) ◽

pp. 3-31 ◽

Cited By ~ 8

Author(s):

Leif Andersen

Keyword(s):

Factor Models ◽

Term Structures

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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 ◽

Variance Swap

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Modeling Term Structures of Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.233963 ◽

2000 ◽

Cited By ~ 26

Author(s):

Hua He

Keyword(s):

Term Structures ◽

Swap Spreads

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Reconciling the Term Structures of Corporate and Social Discount Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2559203 ◽

2015 ◽

Author(s):

Mark Freeman

Keyword(s):

Discount Rates ◽

Term Structures

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Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2955793 ◽

2010 ◽

Author(s):

Massoud Heidari ◽

Ali Hirsa ◽

Dilip B. Madan

Keyword(s):

Stochastic Volatility ◽

Term Structures

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Risk Premiums and VIX Derivatives Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3290247 ◽

2018 ◽

Author(s):

Peixuan Yuan

Keyword(s):

Derivatives Pricing ◽

Risk Premiums ◽

Vix Derivatives

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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 ◽

Delta Hedging

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Time-Varying Skew in VIX Derivatives Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3562809 ◽

2020 ◽

Author(s):

Peixuan Yuan

Keyword(s):

Time Varying ◽

Derivatives Pricing ◽

Vix Derivatives

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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):

Variance Swap

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The Bond, Equity, and Real Estate Term Structures

SSRN Electronic Journal ◽

10.2139/ssrn.3706414 ◽

2020 ◽

Author(s):

Spencer Andrews ◽

Andrei Gonçalves

Keyword(s):

Real Estate ◽

Term Structures

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