Taming Volatility: A New Perspective on Variance Swaps

AuthorD. Filipović, L. Mancini, E. Gourier
Date1 jan. 2016
CatégorieRoundups
Taming Volatility: A New Perspective on Variance Swaps

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.

 

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