{"paper":{"title":"Variance Swaps on Defaultable Assets and Market Implied Time-Changes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"q-fin.PR","authors_text":"Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga","submitted_at":"2012-09-04T16:40:36Z","abstract_excerpt":"We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a L\\'{e}vy subordinator. In this framework, the underlying may exhibit jumps with a state-dependent L\\'{e}vy measure, local stochastic volatility and have a local stochastic default intensity. Moreover, the L\\'{e}vy subordinator that drives the underlying can be obtained directly by observing European call/put prices. To illustrate our general framework, we provide an explicit formula for the value of a variance swap when the underlying is modeled as (i) a L\\'evy subordinated geometric Br"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1209.0697","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}