Articles by Per Hörfelt
Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
The value of a variance swap – a question of interest
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both…