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Variance Swaps on Defaultable Assets and Market Implied Time-Changes.
Matthew Lorig
Oriol Lozano-Carbassé
Rafael Mendoza-Arriaga
Published in:
SIAM J. Financial Math. (2016)
Keyphrases
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financial markets
investment strategies
decision making
risk management
asset allocation
stock market
business opportunities
standard deviation
prediction error
maximum variance
futures market
covariance matrix
normal distribution
market share
investment decisions
market prices