Variance Swaps

•

3 recomendaciones•2,689 vistas

bingdian

Empresariales Economía y finanzas

Outline ,[object Object],[object Object],[object Object],[object Object]

Outline continue ,[object Object],[object Object],[object Object]

Part 1 Why variance swap ,[object Object],[object Object],[object Object],[object Object]

What’s Variance Swap ,[object Object],[object Object]

The payoff of variance swap ,[object Object],[object Object],[object Object]

Part 2 Replicating Variance Swaps ,[object Object],[object Object],[object Object]

Portfolios of call options of different strikes as a function of Stock price

V is virtually independent of Stock price

A long position in a forward contract and a short position in a log contract

Part 3 General Results ,[object Object],[object Object]

The math ,[object Object],[object Object]

Part 4 Effects of Volatility Skew ,[object Object]

Part 5 Hedging Equity Returns ,[object Object],[object Object]

Relationship between monthly changes in 30-day S&P 500 variance (as measured by the VIX Index) and monthly changes in the S&P 500 Index. Vix: A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options

Volatility Relative Value and Directional Strategies ,[object Object],[object Object],[object Object]

3M S&P 500 and Nasdaq 100 Index Volatility

Credit and Equity Volatility Relative Value ,[object Object],[object Object],[object Object]

Correlation between Credit Risk and Equity Volatility

Más contenido relacionado

Destacado

The Dodd-Frank Software SolutionWG Consulting

Swap Execution Facilities: Market Evolution and SEF ProfilesJohn Rapa

CFTC Swap Trade Reconstruction Polling Questionsmitch avnet

Dodd frank title VIIknowledge4bilal

The Practical Implementation of Dodd-Frank for End UsersWG Consulting

CLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKETLászló Árvai

Automated Securities Accounting System SRI Infotech

Dodd-Frank for ProducersWG Consulting

SWAPS-Final2Nidhish Singh, BA (Hons) UK, ACCA, CISI

Dodd frank Uncleared Margin RulesBilly Gopeesingh

Carry Trade StrategyForex Useful

Export Compliance Management Seminar 29 May 2012: Automated Trade Compliance ...EagleCompliance

Initial Margin for Cleared SwapsClarus Financial Technology

Libor OIS tradingFrançois Choquet

CCP Initial Margin for Interest Rate SwapsClarus Financial Technology

Credit Derivativesav vedpuriswar

Real time trade surveillance in financial marketsHortonworks

Big Data Analytics for Banking, a Point of ViewPietro Leo

Derivatives - Classroom PresentationRagumoorthy Nehrumoorthy

Research PerfectionJulie Anne Kent

Destacado (20)

The Dodd-Frank Software Solution

Swap Execution Facilities: Market Evolution and SEF Profiles

CFTC Swap Trade Reconstruction Polling Questions

Dodd frank title VII

The Practical Implementation of Dodd-Frank for End Users

CLEAR OR NOT CLEAR? CURRENT TRENDS ON THE OTC DERIVATIVES MARKET

Automated Securities Accounting System

Dodd-Frank for Producers

SWAPS-Final2

Dodd frank Uncleared Margin Rules

Carry Trade Strategy

Export Compliance Management Seminar 29 May 2012: Automated Trade Compliance ...

Initial Margin for Cleared Swaps

Libor OIS trading

CCP Initial Margin for Interest Rate Swaps

Credit Derivatives

Real time trade surveillance in financial markets

Big Data Analytics for Banking, a Point of View

Derivatives - Classroom Presentation

Research Perfection

Similar a Variance Swaps

Volatility arbitragejy Torres

Futures And Forwardsashwin_sharma

8. futures and forwardsSanjiv Jha

9.kalpesh arvind shah.subject international banking and foreign exchange riskKalpesh Arvind Shah

VSTOXX® | Discovering Volatility | Eurex ExchangeEurex

International Banking and Foreign Exchange riskKalpesh Arvind Shah

003 Futures And ForwardsVinuthan S Murthy

FVAAbukar Ali, CQF

Derivativesbbajaria

Interest rate swaps, caps.....Nits Kedia

Interest rate swaps, caps.....StudsPlanet.com

SECTION IV - CHAPTER 29 - Implied Volatility BasicsProfessional Training Academy

DerivativesRoy Thomas

VolatilityRatish Cdnv

DerivativesDayasagar S

DERIVATIVES LESSONSAugustin Bangalore

Interest risk and hedgingSumaira Sultana Talpur (MBA Finance)

Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore UniversitySwaminath Sam

Capital market theoryStudent

Chapter v capital market theorynirdoshk88

Similar a Variance Swaps (20)

Volatility arbitrage

Futures And Forwards

8. futures and forwards

9.kalpesh arvind shah.subject international banking and foreign exchange risk

VSTOXX® | Discovering Volatility | Eurex Exchange

International Banking and Foreign Exchange risk

003 Futures And Forwards

FVA

Derivatives

Interest rate swaps, caps.....

SECTION IV - CHAPTER 29 - Implied Volatility Basics

Derivatives

Volatility

Derivatives

DERIVATIVES LESSONS

Interest risk and hedging

Chapter 4 - Risk Management - 2nd Semester - M.Com - Bangalore University

Capital market theory

Chapter v capital market theory

Último

Monte Carlo simulation : Simulation using MCSMRavindra Nath Shukla

Grateful 7 speech thanking everyone that has helped.pdfPaul Menig

VIP Call Girls In Saharaganj ( Lucknow ) 🔝 8923113531 🔝 Cash Payment (COD) 👒anilsa9823

Ensure the security of your HCL environment by applying the Zero Trust princi...Roland Driesen

Cash Payment 9602870969 Escort Service in Udaipur Call GirlsApsara Of India

VVVIP Call Girls In Greater Kailash ➡️ Delhi ➡️ 9999965857 🚀 No Advance 24HRS...Call Girls In Delhi Whatsup 9873940964 Enjoy Unlimited Pleasure

Pharma Works Profile of Karan Communicationskarancommunications

GD Birla and his contribution in managementchhavia330

$Nepali Escort Girl Kakori \ 9548273370 Indian Call Girls Service Lucknow ₹,9517$ $Nepali Escort Girl Kakori \ 9548273370 Indian Call Girls Service Lucknow ₹,9517$

Nepali Escort Girl Kakori \ 9548273370 Indian Call Girls Service Lucknow ₹,9517Call Girls In Delhi Whatsup 9873940964 Enjoy Unlimited Pleasure

Call Girls in Gomti Nagar - 7388211116 - With room Servicediscovermytutordmt

KYC-Verified Accounts: Helping Companies Handle Challenging Regulatory Enviro...Any kyc Account

Event mailer assignment progress report .pdftbatkhuu1

Call Girls Navi Mumbai Just Call 9907093804 Top Class Call Girl Service Avail...Dipal Arora

7.pdf This presentation captures many uses and the significance of the number...Paul Menig

Progress Report - Oracle Database Analyst SummitHolger Mueller

0183760ssssssssssssssssssssssssssss00101011 (27).pdfRenandantas16

Lucknow 💋 Escorts in Lucknow - 450+ Call Girl Cash Payment 8923113531 Neha Th...anilsa9823

Call Girls In Panjim North Goa 9971646499 Genuine Serviceritikaroy0888

Best Basmati Rice Manufacturers in IndiaShree Krishna Exports

Best VIP Call Girls Noida Sector 40 Call Me: 8448380779Delhi Call girls

Variance Swaps

1. Yang Han

7. Variance swaps are convex in Volatility

9. Portfolios of call options of different strikes as a function of Stock price

10. V is virtually independent of Stock price

11.

12. A long position in a forward contract and a short position in a log contract

13.

14.

15.

16.

17.

18.

19.

20.

21.

22.

23. Relationship between monthly changes in 30-day S&P 500 variance (as measured by the VIX Index) and monthly changes in the S&P 500 Index. Vix: A high value corresponds to a more volatile market and therefore more costly options, which can be used to defray risk from this volatility by selling options

24.

25. 3M S&P 500 and Nasdaq 100 Index Volatility

26.

27. Correlation between Credit Risk and Equity Volatility

28.

29. Thanks!

Variance Swaps

Recomendados

Recomendados

Más contenido relacionado

Destacado

Destacado (20)

Similar a Variance Swaps

Similar a Variance Swaps (20)

Último

Último (20)

Variance Swaps