Hedging (Co)Variance Risk with Variance Swaps

By J. D. da Fonseca, Martino Grasselli, F. Ielpo. 2011

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3c90ef6b7fd138e907539d8a9fab1e8f4212a5bf

Citations in the corpus

• Riding on the smiles (2011, unknown): “We also refer to Da Fonseca et al. (2007a), Da Fonseca et al. (2011) for intuition on the parameters and basic properties of the WASC model.”