The volatility derivative market: Variance Swap and VIX/VVIX strategies (Paperback) (ISBN-13: 9783639772791)

In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.

Author: Mustarelli Giacomo Maria, Trischitta Claudio
ISBN-10: 3639772792
ISBN-13: 9783639772791
Publisher: Edizioni Accademiche Italiane
Language: English
Published: 07/22/2015
Pages: 160
Format: Paperback
Weight: 0.54lbs
Size: 9.00h x 6.00w x 0.37d