Variance swap with mean reversion, multifactor stochastic volatility and jumps.

Chi Seng Pun Shing Fung Chung Hoi Ying Wong

Published in: Eur. J. Oper. Res. (2015)

Keyphrases

portfolio selection
financial markets
monte carlo
stock market
markov chain
stock price
long term
graph cuts
covariance matrix
standard deviation
stock trading
non stationary
stochastic model
stochastic nature
passive aggressive