{"id":"W16647357","doi":"10.1016/j.amjsurg.2006.01.039","title":"Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilities","year":2004,"lang":"en","type":"article","venue":"","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":72,"is_retracted":false,"has_abstract":true,"ca_institutions":"York University","funders":"","keywords":"Variance swap; Volatility swap; Stochastic volatility; Swap (finance); Volatility (finance); Econometrics; Forward volatility; Implied volatility; Heston model; Volatility smile; Realized variance; Economics; Financial market; Covariance; Probabilistic logic; Financial economics; Variance (accounting); SABR volatility model; Finance; Mathematics; Statistics; Accounting","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0028002,0.0009707268,0.001226069,0.0008647132,0.0006557817,0.002351745,0.001226374,0.002259904,0.001945366],"category_scores_gemma":[0.00790393,0.0009866862,0.001447945,0.0005699174,0.00140677,0.00209478,0.001171496,0.00176568,0.0002011875],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001020363,"about_ca_system_score_gemma":0.001360886,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01595149,"about_ca_topic_score_gemma":0.008725879,"domain_scores_codex":[0.9994069,0.0003026614,0.00003076386,0.00007030257,0.00007294362,0.0001164555],"domain_scores_gemma":[0.996505,0.002590782,0.0003947181,0.00009392684,0.0002085604,0.0002069571],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003995647,0.00001915411,0.001301067,0.00001314365,0.00002920023,0.00008100454,0.00004399849,0.9742207,0.0003237482,0.02257072,0.0001976692,0.001159591],"study_design_scores_gemma":[0.000004311192,0.000003910193,0.0001082989,0.000001009176,0.000002846329,0.000007024587,0.000004591822,0.9965057,0.0000296598,0.00328078,0.00004816571,0.000003578312],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"methods","genre_scores_codex":[0.5395243,0.001114949,0.4488041,0.001855894,0.0001156613,0.00006621822,0.0003494272,0.000259701,0.007909725],"genre_scores_gemma":[0.9787137,0.0003928595,0.0153237,0.00007839316,0.00006779331,0.00006533929,0.0001495196,0.00005979527,0.005148892],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.01595149,"threshold_uncertainty_score":0.0317173,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02763886467910773,"score_gpt":0.2105827335285847,"score_spread":0.1829438688494769,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}