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Consistent Variance Curve Models

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  • Hans Buehler

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Abstract

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Suggested Citation

  • 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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    File URL: http://hdl.handle.net/10.1007/s00780-006-0008-2
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    References listed on IDEAS

    as
    1. Tomas Björk & Bent Jesper Christensen, 1999. "Interest Rate Dynamics and Consistent Forward Rate Curves," Mathematical Finance, Wiley Blackwell, vol. 9(4), pages 323-348.
    2. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 207-218.
    3. 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.
    4. 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..
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    Citations

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    Cited by:

    1. Jan Baldeaux & Alexander Badran, 2014. "Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
    2. Alexander Badran & Beniamin Goldys, 2015. "A Market Model for VIX Futures," Papers 1504.00428, arXiv.org.
    3. Schied, Alexander, 2014. "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 84-94.
    4. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    5. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
    6. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    7. Florent S'egonne, 2015. "Variance Dynamics - An empirical journey," Papers 1507.00846, arXiv.org.
    8. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    9. Virmani, Vineet, 2014. "Model Risk in Pricing Path-dependent Derivatives: An Illustration," IIMA Working Papers WP2014-03-22, Indian Institute of Management Ahmedabad, Research and Publication Department.
    10. Gilles Zumbach, 2009. "Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models," Papers 0901.2275, arXiv.org.
    11. Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Working Papers hal-01212018, HAL.
    12. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 0404. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
    13. Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka, 2014. "Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 351-396, November.
    14. Yalc{c}in Aktar & Erik Taflin, 2014. "A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities," Papers 1405.3566, arXiv.org.

    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;

    JEL classification:

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

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