A variance swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement, i.e. volatility, of some underlying product, like an exchange rate, interest rate, or stock index.
One leg of the swap will pay an amount based upon the realized variance of the price changes of the underlying product. Conventionally, these price changes will be daily log returns, based upon the most commonly used closing price. The other leg of the swap will pay a fixed amount, which is the strike, quoted at the deal's inception. Thus the net payoff to the counterparties will be the difference between these two and will be settled in cash at the expiration of the deal, though some cash payments will likely be made along the way by one or the other counterparty to maintain agreed upon margin.
A varianceswap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement,...
A conditional varianceswap is a type of varianceswap or swap derivative product that allows investors to take exposure to volatility in the price of...
Variance risk premium is a phenomenon on the varianceswap market, of the varianceswap strike being greater than the realized variance on average. For...
the impled volatility of a varianceswap - and not that of a volatility swap, volatility being the square root of variance, or standard deviation. The...
difference between the two is convexity: The payoff of a varianceswap is linear with variance but convex with volatility. That means, inevitably, a static...
volatility-dependent options (for example, European calls, or more explicitly, varianceswaps). Hence we could add a volatility-dependent asset;[citation needed]...
type is varianceswap, which is, in other words, the futures contract on realized variance. With a similar notion to the vanilla options, variance options...
a varianceswap on the index and buy the varianceswaps on the individual constituents; this particular kind of spread trade is called a variance dispersion...
yet exist that have stochastic correlation and are arbitrage-free. Varianceswap Rainbow option Meissner, Gunter (2014). Correlation risk modeling and...
three-month varianceswap – usually on the Eurostoxx 50E or S&P500 index – that pays a positive performance if the implied volatility (strike of the swap) is...
locally capped and floored cliquets, as well as unhedged and hedged varianceswap contracts. He also introduced a conic finance-based nonlinear equity...
credit default swaps under variance gamma. In an extensive empirical test they show the overperformance of the pricing under variance gamma, compared...
approaches such as Monte Carlo methods. Volatility swapVarianceswap Option on realized variance Volatility (finance) Barndorff-Nielsen, Ole E.; Shephard...
defined. It is a comparison-based sort since elements a and b are only swapped in case their relative order has been obtained in the transitive closure...
impossible to achieve with the Doom engine which did mapping in 2D, with height variance done via numbers. In true 3D game engines to follow, such as those using...
{\displaystyle w_{B}} , it is possible to do TLH within the confines of mean-variance optimization by developing an objective function that maximizes the difference...
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