This paper focuses on the pricing of variance and volatility swaps in the energy market. An explicit variance swap formula and a closed-form volatility swap formula (using the Brockhaus-Long approximation)...
Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Variance swaps articles
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner and head of financial theory and research at Ito33,...
Derivatives businesses are under enormous pressure to deliver a clear rationale and unprecedented transparency for their products. Specialised quantitative support of structuring is required. Andrei Soklakov exposes a link between payout structures and...
Hedge funds and other sophisticated investors have been positioning themselves as sellers of volatility and correlation, despite recent global events. But some market participants are urging caution. Mark Pengelly reports
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack...
Many dealers were badly hurt by short single-stock variance positions at the end of 2008. Despite this, a number of banks have reopened dispersion desks this year to tap into renewed investor interest in the trade. Have they learned any lessons? By Matt...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
USA, 9th Dec 2013
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