Entropy, Relative Entropy, and the Fair Variance Swap Rate

Conference paper

Laboratoire SAF, Laboratoire de Sciences Actuarielle et Financière

Séminaire du laboratoire Science Actuarielle et Financière (SAF) (Lyon, France, 04/10/2013–04/10/2013)

01/10/2013

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Title: Entropy, Relative Entropy, and the Fair Variance Swap Rate
Creators: Lorenz Schneider (Author)
Conference: Séminaire du laboratoire Science Actuarielle et Financière (SAF) (Lyon, France, 04/10/2013–04/10/2013)
Publisher: Laboratoire SAF, Laboratoire de Sciences Actuarielle et Financière
Identifiers: 9917667009453
Academic Unit: Department of Quantitative Finance & Economics
Language: English
Resource Type: Conference paper
Local Fields: 98201