Journal ArticleDOI
Variation and share-weighted variation swaps on time-changed Lévy processes
Peter Carr,Roger Lee +1 more
TLDR
This work generalizes from quadratic variation to G-variation, which generalizes power variation, and applies these tools to analyze and minimize the risk in a family of hedging strategies for G-Variation.Citations
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Lévy processes and infinitely divisible distributions
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Journal ArticleDOI
Model-independent hedging strategies for variance swaps
David Hobson,Martin Klimmek +1 more
TL;DR: It is shown that it is possible to derive model-independent, no-arbitrage bounds on the price of the variance swap, and corresponding sub- and super-replicating strategies, and characterise the optimal bounds.
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Model independent hedging strategies for variance swaps
David Hobson,Martin Klimmek +1 more
TL;DR: In this paper, the authors derived model-independent, no-arbitrage bounds on the price of the variance swap, and corresponding sub-and super-replicating strategies.
Journal ArticleDOI
Variance Derivatives: Pricing and Convergence
TL;DR: In this article, the convergence of the prices of discretely monitored and continuously monitored versions of variance swaps to their continuously monitored counterparts as the number of monitoring times is allowed to tend to infi nity is analyzed.
Journal ArticleDOI
Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
TL;DR: In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastically intensity.
References
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Stochastic integration and differential equations
TL;DR: In this article, the authors propose a method for general stochastic integration and local times, which they call Stochastic Differential Equations (SDEs), and expand the expansion of Filtrations.
Book
Lévy processes and infinitely divisible distributions
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Journal ArticleDOI
Stochastic Volatility for Lévy Processes
TL;DR: In this article, a mean-corrected exponential model is used to obtain a martingale in the filtration in which it was originally defined, and the important property of martingales in altered filtrations consistent with the one-dimensional marginal distributions of the level of the process at each future date.