英文标题：
《A Proposal for Multi-asset Generalised Variance Swaps》
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作者：
Subhojit Biswas and Diganta Mukherjee
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最新提交年份：
2019
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英文摘要：
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities. We consider multiple assets in the portfolio for theoretical purpose and demonstrate our approach with numerical examples taking three stocks in the portfolio. The resultsobtained in this paper have important implications for the commodity sector where such swaps would be useful for hedging risk
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中文摘要：
本文提出了广义方差的两个重要的新度量，即最大特征值和相关资产协方差矩阵的轨迹。我们为这些具有马尔可夫调制波动率的金融市场的广义方差掉期定价。出于理论目的，我们考虑了投资组合中的多种资产，并以投资组合中的三只股票为例说明了我们的方法。本文得出的结果对大宗商品部门具有重要影响，因为此类掉期将有助于对冲风险
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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