Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities

By A. Swishchuk. 2004

100 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/985efd739dafaeef47b70b73f2b4cb61547f3aa5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “…and Lee (2005, 2007) are modelindependent, many early papers depend on specific stochastic volatility models, such as those of Grunbichler and Longstaff (1996), Heston and Nandi (2000), Brockhaus and Long (2000), Javaheri et al. (2004), Howison et al. (2004), Swishchuk (2004), Sepp (2008), etc.”
Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007, unknown): “Swishchuk (2004) used an alternative probabilistic approach to value variance and volatility swaps under the Heston (1993) stochastic volatility model.”
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case (2010, methodology): “Swishchuk [8] uses the second order Taylor expansion for function √ V obtained in [17] to represent EQ[ √ V ] via EQ[V ] and V ar[V ] as EQ[ √ V ] ≈ √ EQ[V ]− V arV 8(EQ[V ])3/2 .”
Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017, unknown): “In Swishchuk (2004) a new probabilistic approach using the Heston model is proposed to study various swaps for financial markets.”
A CLOSED‐FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (2010, methodology): “The Continuous Model In the literature, many researchers, such as Swishchuk (2004) and Zhang and Zhu (2006), have proposed continuous sampling models for variance swaps based on the Heston model.”
STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2013, methodology): “Specifically with variance w = V2, by Itô’s Lemma, Model 1 corresponds to the mean-reverting square-root model for w : dw = (a + bw) dt + Kw 12 d Z used by authors such as Brockhaus and Long (2000) and Swishchuk (2004).”