Carr kicks off quant presentations at Risk USA in Boston

- Navroz Patel
- 10 Jun 2003

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It has been known for more than a decade that derivatives with a payoff dependent on variance, that is, the square of volatility, can be replicated with a portfolio of vanilla derivatives. Traditionally it was thought that derivatives with payoffs that depend on variance non-linearly, such as volatility swaps, could not be replicated robustly. So robust risk management of volatility swaps - which are actively traded in the over-the-counter (OTC) equity and currency markets has been problematic.

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