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Article
Title:
Hedging (Co)variance Risk with Variance Swaps
Authors:
José da Fonseca
(
Auckland U Technology
)
Martino Grasselli
(
U Padova
)
Florian Ielpo
(
Lombard Odier Darier Hentsch & Cie, Geneva
)
Journal:
International Journal Of Theoretical And Applied Finance
Year:
2011
Volume:
14
Number:
6
Pages:
899-943
JEL codes:
C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions
G13 - Contingent Pricing; Futures Pricing
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