Volatility Derivatives - Variance and Volatility Swaps
Joakim Marklund, Olle Karlsson
Abstract
Joakim Marklund, Olle Karlsson
Abstract
We give a comprehensive overview of volatility derivatives including the history behind it, the applications as well as pricing procedures in various models. Given these models we also apply market data to approach some empirical evidence, estimating and evaluating the performance of the models in the frame of variance and volatility swaps.
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We give a comprehensive overview of volatility derivatives including the history behind it, the applications as well as pricing procedures in various models. Given these models we also apply market data to approach some empirical evidence, estimating and evaluating the performance of the models in the frame of variance and volatility swaps.
Key concepts: Variance swap, Volatility swap, Volatility (finance), Econometrics, Forward volatility, Stochastic volatility, Implied volatility, Volatility smile