A Proposal for Multi-asset Generalised Variance Swaps
Mathematical Finance
2019-08-13 v1
Abstract
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities. We consider multiple assets in the portfolio for theoretical purpose and demonstrate our approach with numerical examples taking three stocks in the portfolio. The resultsobtained in this paper have important implications for the commodity sector where such swaps would be useful for hedging risk
Keywords
Cite
@article{arxiv.1908.03899,
title = {A Proposal for Multi-asset Generalised Variance Swaps},
author = {Subhojit Biswas and Diganta Mukherjee},
journal= {arXiv preprint arXiv:1908.03899},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1205.5565 by other authors