Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps∗ Anatoliy Swishchuk Department of Mathematics and Statistics University of Calgary - Swaps - Document - PDFSEARCH.IO

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

Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps∗ Anatoliy Swishchuk Department of Mathematics and Statistics University of CalgaryAdd to Reading List