Arbeitspapier
Volatility investing with variance swaps
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps. Then we describe valuation and hedging methodology for vanilla variance swaps as well as for the 3-rd generation volatility derivatives: gamma swaps, corridor variance swaps, conditional variance swaps. Finally we show the results of the performance investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance swaps on DAX and its constituents during the 5-years period from 2004 to 2008.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2010,001
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Conditional Variance Swap
Corridor Variance Swap
Dispersion Trading
Gamma Swap
Variance Swap
Volatility Replication
Volatility Trading
Swap
Maßzahl
Finanzderivat
Volatilität
Wertpapierhandel
Theorie
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Härdle, Wolfgang Karl
Silyakova, Elena
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Härdle, Wolfgang Karl
- Silyakova, Elena
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2010
Ähnliche Objekte (12)
Volatility Investing with Variance Swaps
Forecasting the term structure of variance swaps
Variance swaps
Discounted-likelihood valuation of variance and volatility swaps
The VIX, the variance premium and stock market volatility
Volatility forecasting when the noise variance Is time-varying
Debt Swaps: ein geeignetes entwicklungspolitisches Instrument? Das Beispiel deutscher Debt Swaps
Variance swap premium under stochastic volatility and self-exciting jumps
US Dollar swaps after LIBOR
Debt swaps: an appropriate instrument for development policy? The example of german debt swaps
Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Interest rate swaps and corporate default
Volatility Investing with Variance Swaps
Forecasting the term structure of variance swaps
Variance swaps
Discounted-likelihood valuation of variance and volatility swaps
The VIX, the variance premium and stock market volatility
Volatility forecasting when the noise variance Is time-varying
Debt Swaps: ein geeignetes entwicklungspolitisches Instrument? Das Beispiel deutscher Debt Swaps
Variance swap premium under stochastic volatility and self-exciting jumps
US Dollar swaps after LIBOR
Debt swaps: an appropriate instrument for development policy? The example of german debt swaps
Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Interest rate swaps and corporate default
Volatility Investing with Variance Swaps
Forecasting the term structure of variance swaps
Variance swaps
Discounted-likelihood valuation of variance and volatility swaps
The VIX, the variance premium and stock market volatility
Volatility forecasting when the noise variance Is time-varying
Debt Swaps: ein geeignetes entwicklungspolitisches Instrument? Das Beispiel deutscher Debt Swaps
Variance swap premium under stochastic volatility and self-exciting jumps
US Dollar swaps after LIBOR
Debt swaps: an appropriate instrument for development policy? The example of german debt swaps
Jump-diffusion long-run risks models, variance risk premium and volatility dynamics