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Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps∗ Anatoliy Swishchuk Department of Mathematics and Statistics University of Calgary
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Document Date: 2010-06-06 12:17:15
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File Size: 234,94 KB
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Company
Statistics University of Calgary Calgary AB /
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Country
Canada /
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MarketIndex
S&P 500 /
S&P 60 /
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Organization
Canada Bachelier Finance Society /
Mathematics and Statistics University of Calgary Calgary /
6th World Congress Toronto /
Delay and Jumps∗ Anatoliy Swishchuk Department of Mathematics /
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Person
Anatoliy Swishchuk /
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Position
dt i2 hR Rt /
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SocialTag
Financial economics
Autoregressive conditional heteroskedasticity
Stochastic volatility
Volatility
Brownian motion
Variance swap
Mathematical finance
Statistics
Finance