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- W3021038160 abstract "This chapter introduces tools for volatility engineering. First, we describe positions with volatility exposure based on options such as delta-hedged calls and straddles. We point out the sensitivity of such positions to variables other than volatility. Then, we move to pure variance products. We describe the replication and pricing of a variance swap. We distinguish volatility from variance instruments and highlight the role of convexity adjustments. The GFC affected the market for variance and volatility swaps and we describe how the GFC has affected the market for volatility trading." @default.
- W3021038160 created "2020-05-13" @default.
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- W3021038160 date "2015-01-01" @default.
- W3021038160 modified "2023-09-28" @default.
- W3021038160 title "Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading" @default.
- W3021038160 doi "https://doi.org/10.1016/b978-0-12-386968-5.00015-7" @default.
- W3021038160 hasPublicationYear "2015" @default.
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