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Title: Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering
Authors: Swishchuk, Anatoliy
Manca, Raimondo
Issue Date: 2010-10-14
Institution: University of Calgary
Faculty: Science
Department: Mathematics and Statistics
Citation: Anatoliy Swishchuk and Raimondo Manca, “Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering,” Mathematical Problems in Engineering, vol. 2010, Article ID 537571, 17 pages, 2010. doi:10.1155/2010/537571.
Publisher: Hindawi Publishing Corporation
Publisher url: http://www.hindawi.com/journals/
URI: http://hdl.handle.net/1880/48616
Description: Article deposited according to Hindawi Publishing Corporation policy in SHERPA/RoMEO, June 14, 2011.
Type: Article
Sponsorship: Funding provided by the Open Access Authors Fund.
Appears in Collections:Swishchuk, Anatoliy

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