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Quantitative Finance · Glosario

¿Qué es Forward-variance model?

Definition 12.3 Derivatives and Volatility · Capítulo 12 — Rough Volatility and Forward-Variance Models

A forward-variance model specifies the dynamics of the whole curve (ξt(u))u≥t\bigl(\xi_t(u)\bigr)_{u\ge t}, starting from the market’s ξ0\xi_0, with each ξt(u)\xi_t(u) a martingale in tt under the pricing measure. The instantaneous variance is the curve’s short end, vt=ξt(t)v_t=\xi_t(t).

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