Dynamic derivative strategies

By Caterina Lepore. 2010

152 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5057f3789db117e239dd4ffef35656fce054598e

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1. Daniel Egloff
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8. Qiang Dai

Citations in the corpus

• Quadratic Variance Swap Models (2016, unknown): “Following Liu and Pan (2003), we adopt a deterministic relative index jump size ξ4 1.”
• Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “, Coval and Shumway, 2001; and Santa-Clara and Saretto, 2009) and the economic benefits of giving investors access to derivatives when they solve the portfolio choice problem (e.g., Constantinides et al., 2009; Driessen and Maenhout, 2007; Liu and Pan, 2003).”
• The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “maturities to span the multi-dimensional stochastic varia nce risk. Liu and Pan (2003) analyze investments”