Quadratic variance swap models

• 成果类型: Article
• 署名作者: Filipovic, Damir; Gourier, Elise; Mancini, Loriano
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.08.015
• 发表日期: 2016
• 页码: 44-68
• 关键词: stochastic volatility; Variance swap; Quadratic term structure; Quadratic jump-diffusion; Dynamic optimal portfolio

摘要

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. (C) 2015 The Authors. Published by Elsevier B.V.