3 citations · 6 across the 12 of their papers we have counts for
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q-fin.PR2016★ 2 cited
Tail Risk Premia for Long-Term Equity Investors
Johannes Rauch, Carol Alexander
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the fa…
q-fin.MF2016
Model-Free Discretisation-Invariant Swap Contracts
Carol Alexander, Johannes Rauch
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable determini…