investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative …. Then we describe valuation and hedging methodology for vanilla variance swaps as well as for the 3-rd generation volatility …Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently …

growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …--insurance products makes it necessary to lift the Black/Scholes assumptions and consider an uncertain volatility scenario, thus …

including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models …

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …