Taming Volatility: A New Perspective on Variance Swaps

AuthorD. Filipović, L. Mancini, E. Gourier
Date01 Jan. 2016
CategoryRoundups
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.

 

Read the full version in English