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About (Deutsche Bank) Modeling Variance Swap Curves - Theory and Application
This document discusses modeling variance swap curves and their application. It provides an introduction to realized variance markets and variance curve models. Variance swaps are described as forwards on realized variance that pay the realized variance over the contract period. Realized variance is defined as the quadratic variation of the log stock price process. Variance swaps can be hedged using a static position in a log contract and delta hedging with the stock. Approximating the variance swap payoff using a series of calls and puts has contributed to liquid variance swap markets for major indices.
Detailed Information
| Author: | ['Maitre Vince'] |
|---|---|
| Publication Year: | 2021 |
| Pages: | 68 |
| Language: | English |
| Format: | |
| Price: | FREE |
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