Variance risk premium as a tail risk indicator mathematical finance
Rossilli, Giorgio (A.A. 2025/2026) Variance risk premium as a tail risk indicator mathematical finance. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 55. [Bachelor's Degree Thesis]
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Abstract/Index
Theoretical model for variance risk premium. Stochastic volatility and probability measure. Asset pricing kernel. Deriving the variance risk premium. Joint restriction under path independence. Fair variance swap rate. Empirical analysis. Empirical calibration. Empirical results.
References
Bibliografia: p. 50.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2025/2026 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Oct 2026 07:39 |
| Last Modified: | 15 Oct 2026 07:39 |
| URI: | https://tesi.luiss.it/id/eprint/46847 |
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