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Variance swap
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51	Peter J¨ackel∗ and Christian Kahl† Hyp Hyp Hooray First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2010-01-04 18:59:06 Finance Volatility Implied volatility Local volatility Stochastic volatility Stochastic differential equation Heston model Variance swap Log-normal distribution Mathematical finance Statistics Financial economics
52	PDF Document Add to Reading List Source URL: media.wiley.com Language: English - Date: 2014-04-14 07:16:10 Options Investment Stochastic volatility Implied volatility Local volatility Volatility Correlation trading Variance swap Black–Scholes Mathematical finance Financial economics Finance
53	PDF Document Add to Reading List Source URL: media.wiley.com Language: English - Date: 2014-04-14 07:16:10 Options Investment Implied volatility Stochastic volatility VIX Volatility Local volatility Variance swap Black–Scholes Financial economics Mathematical finance Finance
54	CREDIT BARRIER MODELS CLAUDIO ALBANESE, GIUSEPPE CAMPOLIETI, OLIVER CHEN, AND ANDREI ZAVIDONOV A BSTRACT. The model introduced in this article is designed to provide a consistent representation for both the real-world an Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:18 Stochastic processes Finance Black–Scholes Credit default swap Variance gamma process Stochastic differential equation Credit rating agency Credit risk Implied volatility Mathematical finance Financial economics Statistics
55	SPECTRAL METHODS FOR VOLATILITY DERIVATIVES ´ CLAUDIO ALBANESE, HARRY LO, AND ALEKSANDAR MIJATOVIC Abstract. In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:26 Investment Implied volatility Volatility swap Variance swap Volatility VIX Stochastic volatility Local volatility Conditional variance swap Mathematical finance Financial economics Finance
56	MOMENT METHODS FOR EXOTIC VOLATILITY DERIVATIVES CLAUDIO ALBANESE AND ADEL OSSEIRAN Abstract. The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price real Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Financial economics Variance swap Volatility Normal distribution Log-normal distribution Realized variance Stochastic volatility Conditional variance swap Ornstein–Uhlenbeck process Statistics Mathematical finance Finance
57	King’s College London University Of London This paper is part of an examination of the College counting towards the award of a degree. Examinations are governed by the College Regulations under the authority of the Aca Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:37 Investment Mathematical finance Variance swap Black–Scholes Swap Forward contract Option style Futures contract Interest rate swap Financial economics Options Finance
58	King’s College London University Of London This paper is part of an examination of the College counting towards the award of a degree. Examinations are governed by the College Regulations under the authority of the Aca Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:27 Interest rates Bonds Banking Mathematical finance Interest rate swap Swap Floating rate note Libor Variance swap Financial economics Finance Economics
59	OPTIMAL HEDGING OF VARIANCE DERIVATIVES JOHN CROSBY Abstract. We examine the optimal hedging of derivatives written on realised variance, focussing principally on variance swaps (but, en route, also considering skewness Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2012-05-11 11:12:47 Mathematical finance Banking Variance swap Forward contract Hedge Autoregressive conditional heteroskedasticity Finance Financial economics Economics
60	Variance Swaps and Volatility Derivatives John Crosby Glasgow University My website is: http://www.john-crosby.co.uk Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-06-24 09:16:33 Investment Variance swap VIX Volatility Implied volatility Black–Scholes Swap Forward contract Variance Mathematical finance Financial economics Finance

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