Modeling and pricing variance and volatility swaps for stochastic volatility models with jumps

Thumbnail Image

Files

ucalgary_2007_lu_zhao_527849.pdf (3.17 MB)

Date

2007

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

Bibliography: p. 94-97

Keywords

Citation

Zhao, L. (2007). Modeling and pricing variance and volatility swaps for stochastic volatility models with jumps (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://ucalgary.scholaris.ca. doi:10.11575/PRISM/1439

URI

http://hdl.handle.net/1880/102440

Collections

Legacy Theses

Endorsement

Review

Supplemented By

Referenced By

Powered by

Libraries & Cultural Resources

Start Something.

University of Calgary
2500 University Drive NW
Calgary Alberta T2N 1N4
CANADA

Copyright © 2023

The University of Calgary, located in the heart of Southern Alberta, both acknowledges and pays tribute to the traditional territories of the peoples of Treaty 7, which include the Blackfoot Confederacy (comprised of the Siksika, the Piikani, and the Kainai First Nations), the Tsuut’ina First Nation, and the Stoney Nakoda (including Chiniki, Bearspaw, and Goodstoney First Nations). The City of Calgary is also home to the Métis Nation of Alberta (Districts 5 and 6).

The University of Calgary is situated on land Northwest of where the Bow River meets the Elbow River, a site traditionally known as Moh’kins’tsis to the Blackfoot, Wîchîspa to the Stoney Nakoda, and Guts’ists’i to the Tsuut’ina. On this land and in this place we strive to learn together, walk together, and grow together “in a good way.”