smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2017SMQ / 138730943173890
Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets
Ben-zhang Yang / Jia Yue / Nan-jing Huang
derivatives / interest ratesResource overview

Variance swaps under Lévy process with stochastic volatility and stochastic interest rate in incomplete markets

Paper2017

by Ben-zhang Yang, Jia Yue, Nan-jing Huang

Tags
derivativesinterest ratesjump processesstochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for rates and fixed income and volatility models and surfaces. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Fixed Income and Interest-Rate Models Explore Advanced Derivatives and Exotic Options

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Ben-zhang Yang, Jia Yue, Nan-jing Huang

2