Quadratic variance swap models

被引:45
|
作者
Filipovic, Damir [1 ]
Gourier, Elise [2 ]
Mancini, Loriano [1 ]
机构
[1] Ecole Polytech Fed Lausanne, Swiss Finance Inst, Quartier UNIL Dorigny, CH-1015 Lausanne, Switzerland
[2] Queen Mary Univ, London E1 4NS, England
基金
瑞士国家科学基金会; 欧洲研究理事会;
关键词
Stochastic volatility; Variance swap; Quadratic term structure; Quadratic jump-diffusion; Dynamic optimal portfolio; TERM STRUCTURE MODELS; DYNAMIC ASSET ALLOCATION; MAXIMUM-LIKELIHOOD-ESTIMATION; CONSISTENT COVARIANCE-MATRIX; RISK PREMIA; STOCHASTIC VOLATILITY; INTEREST-RATES; OPTION PRICES; PORTFOLIO CHOICE; AFFINE PROCESSES;
D O I
10.1016/j.jfineco.2015.08.015
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis. Various goodness-of-fit tests show that quadratic models fit variance swaps on the S&P 500 remarkably well, and outperform affine models. We solve a dynamic optimal portfolio problem in variance swaps, index option, stock index and bond. An empirical analysis uncovers robust features of the optimal investment strategy. (C) 2015 The Authors. Published by Elsevier B.V.
引用
收藏
页码:44 / 68
页数:25
相关论文
共 50 条
  • [21] Discrete variance swap in a rough volatility economy
    Xi, Yiru
    Wong, Hoi Ying
    JOURNAL OF FUTURES MARKETS, 2021, 41 (10) : 1640 - 1654
  • [22] THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
    Jordan, Richard
    Tier, Charles
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (05) : 709 - 743
  • [23] Effect of Variance Swap in Hedging Volatility Risk
    Shen, Yang
    RISKS, 2020, 8 (03) : 1 - 34
  • [24] QUADRATIC ESTIMATION IN MIXED LINEAR-MODELS WITH 2 VARIANCE-COMPONENTS
    GNOT, S
    KLEFFE, J
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1983, 8 (03) : 267 - 279
  • [25] Swap variance hedging and efficiency: The role of high moments
    Chow, K. Victor
    Li, Bingxin
    Wang, Zhan
    JOURNAL OF FINANCIAL RESEARCH, 2023, 46 (03) : 681 - 709
  • [26] Credit default swap spreads and variance risk premia
    Wang, Hao
    Zhou, Hao
    Zhou, Yi
    JOURNAL OF BANKING & FINANCE, 2013, 37 (10) : 3733 - 3746
  • [27] Variance Swap Pricing under Hybrid Jump Model
    Liu, S.
    Wiwatanapataphee, B.
    Wu, Y. H.
    Yang, Y.
    EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, 2020, 10 (03) : 594 - 619
  • [28] ON QUADRATIC ESTIMATES OF VARIANCE COMPONENTS
    GRAYBILL, F
    ANNALS OF MATHEMATICAL STATISTICS, 1953, 24 (01): : 137 - 137
  • [29] ON QUADRATIC ESTIMATES OF VARIANCE COMPONENTS
    GRAYBILL, FA
    ANNALS OF MATHEMATICAL STATISTICS, 1954, 25 (02): : 367 - 372
  • [30] Theory of quadratic estimates of variance
    Petunin Yu.I.
    Tupko N.P.
    Ukrainian Mathematical Journal, 1999, 51 (9) : 1370 - 1385