Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "10652"
#_source: array:26 [
"id" => "10652"
"slug" => "10652-quadratic-variance-swap-models"
"yearMonth" => "2016-01"
"year" => "2016"
"title" => "Quadratic Variance Swap Models"
"description" => "FILIPOVIC, D., GOURIER, E. et MANCINI, L. (2016). Quadratic Variance Swap Models. <i>Journal of Financial Economics</i>, 119(1), pp. 44-68. 
FILIPOVIC, D., GOURIER, E. et MANCINI, L. (2016). Quadratic Variance Swap Models. <i>Journal of Fina "
"authors" => array:3 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "FILIPOVIC Damir"
]
2 => array:1 [
"name" => "MANCINI Loriano"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Stochastic volatility -Variance swap -Quadratic term structure -Quadratic jump-diffusion -Dynamic optimal portfolio Stochastic volatility -Variance swap -Quadratic term structure -Quadratic jump-diffusion -Dynamic op "
]
"updatedAt" => "2021-07-13 14:31:40"
"publicationUrl" => "https://www.sciencedirect.com/science/article/pii/S0304405X15001543"
"publicationInfo" => array:3 [
"pages" => "44-68"
"volume" => "119"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous introduisons une nouvelle classe de modèles quadratiques pour la variance. Les swaps de variance sont des fonctions quadratiques de la variable d'état disponibles en formule fermée, facilitant amplement l'analyse empirique. De nombreux tests montrent que cette modélisation donne de très bons résultats et représente les données sur les swaps de variance de façon précise. Nous résolvons un problème d'optimisation de portefeuille incluant des swaps de variance, une option sur l'index, l'index et le bond. Nous introduisons une nouvelle classe de modèles quadratiques pour la variance. Les swaps de varianc "
"en" => "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. We introduce a novel class of term structure models for variance swaps. The multivariate state proce "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-03-17T00:21:43.000Z"
"docTitle" => "Quadratic Variance Swap Models"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/gourier-elise">GOURIER Elise</a>, FILIPOVIC Damir, MANCINI Loriano"
"docDescription" => "<span class="document-property-authors">GOURIER Elise, FILIPOVIC Damir, MANCINI Loriano</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2016</span> <span class="document-property-authors">GOURIER Elise, FILIPOVIC Damir, MANCINI Loriano</span><br><s "
"keywordList" => "<a href="#">Stochastic volatility -Variance swap -Quadratic term structure -Quadratic jump-diffusion -Dynamic optimal portfolio</a> <a href="#">Stochastic volatility -Variance swap -Quadratic term structure -Quadratic jump-diffusion "
"docPreview" => "<b>Quadratic Variance Swap Models</b><br><span>2016-01 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://www.sciencedirect.com/science/article/pii/S0304405X15001543" target="_blank">Quadratic Variance Swap Models</a> <a href="https://www.sciencedirect.com/science/article/pii/S0304405X15001543" target="_blank">Quadra "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 9.116396
+"parent": null
}
