Quadratic variance swap models
提出一类新的方差互换期限结构模型，状态过程具有二次扩散函数，方差互换曲线以封闭形式给出，实证表明该模型优于仿射模型，并用于动态最优投资组合问题。
We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis. Various goodness-of-fit tests show that quadratic models fit variance swaps on the S&P 500 remarkably well, and outperform affine models. We solve a dynamic optimal portfolio problem in variance swaps, index option, stock index and bond. An empirical analysis uncovers robust features of the optimal investment strategy. (C) 2015 The Authors. Published by Elsevier B.V.