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More Variance swaps articles
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 fu...
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per H...
The fourth quarter of 2008 will be remembered as one of the trickiest periods ever for equity derivatives dealers. Following the collapse of Lehman Brothers in September that year, global equity markets...
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