Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

are split into three components. The first component allows us to match the volatility term structure, the second … generates stochastic volatility, and the third one accommodates for stochastic skew. The model is parsimonious, yet flexible …

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 introduce the general idea of the volatility trading using variance swaps …

This study presents a set of closed-form exact solutions for pricing discretely sampled variance swaps and volatility … swaps, based on the Heston stochastic volatility model with regime switching. In comparison with all the previous studies in … the literature, this research, which obtains closed-form exact solutions for variance and volatility swaps with discrete …

Variance Swap ; Dispersion Trading ; Gamma Swap ; Variance Swap ; Volatility Replication ; Volatility Trading …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 …