Browsing Matematisk institutt by Author "Jakobsen, Torbjørn Digernes"
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Jakobsen, Torbjørn Digernes (Master thesis / Masteroppgave, 2012)This thesis addresses whether variance swaps should be part of an insurer's hedge strategy, and the replicating portfolio of a variance swap is derived and analysed to see if it creates a payout similar to the variance ...