# Variance swaps

##### The CTMC–Heston model: calibration and exotic option pricing with SWIFT

This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.

##### Equity derivatives house of the year: Citi

Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov

##### Morgan Stanley FX loss leaves ill-feeling, questions in wake

Options traders saw odd quotes by US bank months before losses were publicised

##### ADOL: Markovian approximation of a rough lognormal model

A variation of the rough volatility model is introduced by plugging in a different stochastic process

After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing ##### Knocking out corridor variance Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap ##### Equity derivatives house of the year: Societe Generale Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies ##### Local variance gamma revisited In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options. ##### Efficient pricing and super-replication of corridor variance swaps and related products This paper proposes a method for overhedging weighted variance using only a finite number of maturities. ##### Autocall hedging set to push Euro Stoxx volatility higher Rising index likely to trigger increased volatility, say dealers ##### Deal of the year: Credit Suisse Addition of knock-outs to corridor variance swaps keeps investors happy and helps with risk recycling ##### Valuation of options on discretely sampled variance: a general analytic approximation In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics. ##### Autocallable issuance upsets Euro Stoxx volatility market Frenzied issuance on European indexes stacks up vega risk for dealers as natural hedge suffers ##### An efficient Monte Carlo method for discrete variance contracts ##### Pricing and hedging variance swaps on a swap rate A pricing tool for fixed-income volatility products is introduced ##### Variance and volatility swaps in energy markets ##### Viva Las Vega: Japan banks take advantage of volatility play Viva Las Vega! ##### An easy-to-hedge covariance swap An easy-to-hedge covariance swap ##### Sponsored statement: Ito33 Which model for equity derivatives? ##### Bayesian lessons for payout structuring Bayesian lessons for payout structuring ##### Hedge funds play dangerous volatility game A dangerous game ##### Short volatility exposures pose risks A dangerous game ##### Global events fail to rock dispersion trades Recent global events have not dented the popularity of dispersion trades among hedge funds, claim bankers ##### Artradis collapse a failure of judgement, not risk management, says co-founder Diggle 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 of…

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