Hedging (Co)Variance Risk With Variance Swaps
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References listed on IDEAS
- Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
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More about this item
KeywordsWishart Affine Stochastic Correlation model; complete and incomplete markets; variance swaps; Fourier transform;
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