Volatility as investment : crash protection with calendar spreads of variance swaps
Source
Journal of applied operational research - ISSN 1735-8523-6:4 (2014) p. 243-254
Numerical experiments on hedging cliquet options
Source
The journal of risk - ISSN 1465-1211-17:1 (2014) p. 85-103
Return distributions of equity-linked retirement plans under jump and interest rate risk
Source
European actuarial journal - ISSN 2190-9733-3:1 (2013) p. 203-228
FX volatility smile construction
Source
Wilmott - ISSN 1540-6962-60 (2012) p. 58-69
Volatilität als Investment : Diversifikationseigenschaften von Volatilitätsstrategien
Source
Frankfurt am Main, MathFinance AG, 2012,58 p.