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2010-01-07Buch DOI: 10.18452/4229
Volatility Investing with Variance Swaps
dc.contributor.authorHärdle, Wolfgang
dc.contributor.authorSilyakova, Elena
dc.date.accessioned2017-06-16T00:03:21Z
dc.date.available2017-06-16T00:03:21Z
dc.date.created2010-05-26
dc.date.issued2010-01-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4881
dc.description.abstractTraditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps. Then we describe valuation and hedging methodology for vanilla variance swaps as well as for the 3-rd generation volatility derivatives: gamma swaps, corridor variance swaps, conditional variance swaps. Finally we show the results of the performance investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance swaps on DAX and its constituents during the 5-years period from 2004 to 2008.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectConditional Variance Swapeng
dc.subjectCorridor Variance Swapeng
dc.subjectDispersion Tradingeng
dc.subjectGamma Swapeng
dc.subjectVariance Swapeng
dc.subjectVolatility Replicationeng
dc.subjectVolatility Tradingeng
dc.subject.ddc330 Wirtschaft
dc.titleVolatility Investing with Variance Swaps
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100111122
dc.identifier.doihttp://dx.doi.org/10.18452/4229
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue1
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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