Weighted variance swaps hedge against impermanent loss

DOI10.1080/14697688.2023.2202708MaRDI QIDQ6166206zbMATH OpenOpenAlexFDO

Authors Masaaki Fukasawa, Marcus Wunsch

Publication date 2 August 2023

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2023.2202708

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Hedging (co)variance risk with variance swaps
• Variance swaps on defaultable assets and market implied time-changes
• Variance swap dynamics
• Arbitrage bounds for prices of weighted variance swaps
• Model-independent hedging strategies for variance swaps
• Arithmetic variance swaps
• Swap rate variance swaps
• Volatility Investing with Variance Swaps
• Implied integrated variance and hedging
• Volatility-invariant hedging

Cites work

• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
• Blockchain and Distributed Ledgers
• On the density of log-spot in the Heston volatility model
• Optimal fees for geometric mean market makers
• VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

Cited in

(3)

• Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
• Wombat—An Efficient Stableswap Algorithm
• Static replication of impermanent loss for concentrated liquidity provision in decentralised markets

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