Variation Swaps on Time-Changed L´ evy Processes Bachelier Congress 2010 June 24 - Quadratic variation - Document - PDFSEARCH.IO

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	Variation Swaps on Time-Changed L´ evy Processes Bachelier Congress 2010 June 24 Add to Reading List Document Date: 2010-06-24 14:43:28 Open Document File Size: 316,55 KB Share Result on Facebook / MarketIndex VIX / / Organization Roger Lee University / Congress / University of Chicago / / Person Peter Carr Robust / / Position forward / / SocialTag Investment Variance swap Stochastic volatility Volatility Realized variance Futures contract Variance Quadratic variation VIX Mathematical finance

Variation Swaps on Time-Changed L´ evy Processes Bachelier Congress 2010 June 24Add to Reading List