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Consistent Variance Curve Models

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  • Hans Buehler

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  • Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203
    DOI: 10.1007/s00780-006-0008-2
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    References listed on IDEAS

    as
    1. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
    2. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348, October.
    4. Rama Cont & Jose da Fonseca & Valdo Durrleman, 2002. "Stochastic Models of Implied Volatility Surfaces," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 361-377, July.
    5. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    6. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    7. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Variance swaps; Options on variance; Market models; Arbitrage-free term structure dynamics; Heath–Jarrow–Morton theory; Consistent parametrizations; 91B24; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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