You are here

Taming Volatility: A New Perspective on Variance Swaps

Full Title: 
Taming Volatility: A New Perspective on Variance Swaps
Elise Gourier
January 1, 2016
Description: 

While the variance swaps market has grown significantly and is currently worth trillions of dollars, pricing these derivatives remains problematic. Three authors provide a powerful new pricing model, revealing how to use variance swaps to construct and maintain an optimal investment portfolio.