Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
Refereed conference paper presented and published in conference proceedings


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All Author(s) ListPUN, Chi Seng, CHUNG Shing Fung, WONG Hoi Ying
Name of ConferenceThe 17th International Congress on Insurance Mathematics and Economics
Start Date of Conference02/07/2013
Proceedings TitleThe 17th International Congress on Insurance Mathematics and Economics
Detailed descriptionorganized by Department of Mathematical Sciences, University of Copenhagen,
Year2013
Month7
Pages30
LanguagesEnglish-United Kingdom
KeywordsVariance Swap; Multi-factor Stochastic Volatility; Mean Reversion, Jump Diffusion

Last updated on 2018-19-01 at 01:54