Volatility Investing with Variance Swaps

DOI10.1007/978-3-642-17254-0_8MaRDI QIDQ3112458zbMATH OpenOpenAlexFDO

Authors Elena Silyakova, Wolfgang K. Härdle

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-001.pdf

Mathematics Subject Classification ID

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

Recommendations

• Variance swap dynamics
• GARCH and volatility swaps
• Hedging (co)variance risk with variance swaps
• Arithmetic variance swaps
• Volatility and arbitrage
• On the valuation of variance swaps with stochastic volatility
• VIX derivatives, hedging and vol-of-vol risk
• Variance and volatility swaps valuations with the stochastic liquidity risk
• Variance swaps under multiscale stochastic volatility of volatility
• Volatility-invariant hedging

Cites work

• Statistics of financial markets. An introduction.
• Towards a theory of volatility trading
• Why is the Index Smile So Steep? *

Cited in

(5)

• Pricing generalized variance swaps under the Heston model with stochastic interest rates
• Towards a theory of volatility trading
• Arithmetic variance swaps
• GARCH and volatility swaps
• Weighted variance swaps hedge against impermanent loss

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