The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
By Daniel Egloff, Markus Leippold, Liuren Wu. Journal of Financial and Quantitative Analysis, 2010
221 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/c33e5f960625f7685a982c8d1bc7eccd94a9fc08
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In Finance
- Martino Grasselli
- J. D. da Fonseca
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- Andreas Kaeck
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Citations in the corpus
- Riding on the smiles (2011, background): “The resulting mean-reverting parameter is typically much larger, thereby leading to a large market price of volatility risk with, as a consequence, large hedging ratios (Da Fonseca et al. 2011, Egloff et al. 2010).”
- Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, methodology): “By contrast, the variance risk premium estimates of Egloff et al. (2010) imply a long-term volatility level of 34% under the risk-neutral measure but only 6% under the real-world probability measure: both these estimates are more extreme, especially the very low real-world long-term volatility…”
- Principal Component Analysis of High-Frequency Data (2016, unknown): “Egloff, Leippold, and Wu (2010) suggested a two-factor model for volatility based on the PCA of variance swaps.”
- The Price of Variance Risk (2015, unknown): “1”
- Quadratic Variance Swap Models (2016, unknown): “In addition to stock and bond, in an affine setting, Liu and Pan (2003) extend the investment opportunity set to options, and Egloff, Leippold, and Wu (2010) to variance swaps.”
- Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Double mean-reversion The same is true for the Double Mean-Reversion (DMR) model, which includes an additional stochastic factor for the mean level in the SQR model, as discussed in Amengual (2008), Mencia and Sentana (2009), and Egloff et al. (2010).”
- A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “ple, Egloff et al. (2010) and Mencia and Sentana (2012) specify the volatility dynamics as:”