The future of skew

Forward start volatility swaps and their pricing and hedging models are introduced


Frido Rolloos introduces the forward start dual volatility swap, which can be regarded as a volatility equivalent of the gamma swap for variance. Nonparametric approximations for the forward start volatility swap and its dual are given, as well as for their difference, which is the implied covariance between the return of the asset and its realised volatility

When implied volatility is plotted against strike, its most salient feature is what practitioners call

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here