Lecture 5: Volatility and Variance Swaps

04 Mar 2015

Article by: Jim Gatheral, Merrill Lynch
Published by: Courant Institute of Mathematical Sciences
Date: 2001

“Although variance and volatility swaps are relatively recent innovations, there is already significant literature describing these contracts and the practicalities of hedging them.

“In fact, a variance swap is not really a swap at all but a forward contract on the realized annualized variance.”

Full article (PDF): Link

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