Fuglesangs Allé 4
School of Business and Social Sciences, Aarhus University
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variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.
volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes
central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act
LIBOR market model, traffic light option, correlation, Monte Carlo simulation, hybrid products, structured products, derivatives pricing
multivariate modeling, contagion, derivatives pricing, jump processes, hedging
Traffic light option, LIBOR market model, correlation, simulation, hybrid products
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