The graduate textbook explores variance and volatility swaps for financial markets with underlying assets following the Heston model, the valuation of variance swaps
for stochastic volatilities with delay, a semi-Markov modulated market consisting of a riskless bond and a risky stock, variance and volatility swaps for volatilities driven by fractional Brownian motion, and explicit option pricing of a mean-reverting asset in energy markets.
Given the feedback we've received from customers, we think they will embrace this contract change, which now more closely aligns our S&P 500 Variance futures contract with OTC variance swaps
They have removed the need for investors to trade volatility through variance swaps
Zou, 1999, "A Guide to Volatility and Variance Swaps
," Journal of Derivatives 6, 9-32.
Bronson Plocus joins Weeden as a volatility trader with more than 10 years experience trading listed and OTC options, variance swaps
, ETF, and single stock products.
Expanded Deriv/SERV to support interest rate swaps and swaptions, equity swaps and variance swaps
to deliver automation to a broad range of products in the OTC derivatives market.
13 Variance Swaps
and Non-constant Vega David Kuenzi
New Contract Mirrors Quoting Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
In 2005, Deriv/SERV expanded to support interest rate swaps and swaptions, equity swaps and variance swaps
Index listed and OTC options in addition to all delta-1 products (creation/redemption, dividend swaps, total return swaps, correlation swaps, variance swaps
The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps
, allows users to trade the difference between the implied and realized variance of the S&P 500 Index.
The strategy will be short near term variance swaps
on a basket of domestic and international indexes and will hedge the exposure with longer-dated forward start swaps.