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Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments · Study

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PreprintVariance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

Markus Leippold2007

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Preprintgreen2007

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

Markus Leippold · Liuren Wu · Daniel Egloff

38 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1993Dynamic Asset Pricing Theory.2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium 2001Expected Option Returns 2004Risk and Volatility: Econometric Models and Financial Practice

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2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 2010Maximum likelihood estimation of non-affine volatility processes 2012Volatility Trading: What Is the Role of the Long-Run Volatility Component?

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.903728

openalex_workW1568900049

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