Volatility as investment : crash protection with calendar spreads of variance swaps

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Journal of applied operational research - ISSN 1735-8523-6:4 (2014) p. 243-254
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Numerical experiments on hedging cliquet options

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The journal of risk - ISSN 1465-1211-17:1 (2014) p. 85-103
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Return distributions of equity-linked retirement plans under jump and interest rate risk

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European actuarial journal - ISSN 2190-9733-3:1 (2013) p. 203-228
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FX volatility smile construction

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Wilmott - ISSN 1540-6962-60 (2012) p. 58-69
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Unifying exotic option closed formulas

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Review of derivatives research - ISSN 1380-6645-15:2 (2012) p. 99-128
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