Variance swap for Levy based stochastic volatility with delay

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dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorMalenfant, Kevin
dc.date.accessioned2017-12-18T22:31:14Z
dc.date.available2017-12-18T22:31:14Z
dc.date.issued2012
dc.descriptionBibliography: p. 73-79en
dc.descriptionSome pages are in colour.en
dc.description.abstractThe valuation of the variance swaps for local Levy based stochastic volatility with delay (LLBSVD) is discussed in this thesis. We provide some analytical closed forms for the expectation of the realized variance for the LLBSVD. As applications of our analytical solutions, we fit our model to 10 years of S&P500 data (2000-01-01-2009-12-31) with variance gamma model and apply the obtained analytical solutions to price the variance swap.
dc.format.extentv, 79 leaves : ill. ; 30 cm.en
dc.identifier.citationMalenfant, K. (2012). Variance swap for Levy based stochastic volatility with delay (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/4742en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/4742
dc.identifier.urihttp://hdl.handle.net/1880/105743
dc.language.isoeng
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.titleVariance swap for Levy based stochastic volatility with delay
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
ucalgary.thesis.accessionTheses Collection 58.002:Box 2090 627942962
ucalgary.thesis.notesUARCen
ucalgary.thesis.uarcreleaseyen
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