Conditional variance swap

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11	OPTIMAL HEDGING OF VARIANCE DERIVATIVES JOHN CROSBY Abstract. We examine the optimal hedging of derivatives written on realised variance, focussing principally on variance swaps (but, en route, also considering skewness Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2012-05-11 11:12:47 Mathematical finance Banking Variance swap Forward contract Hedge Autoregressive conditional heteroskedasticity Finance Financial economics Economics
12	The VIX, the variance rremium and stock market volatility Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2014-05-14 08:46:59 Economics VIX Variance risk premium Volatility Variance swap Implied volatility Realized variance Autoregressive conditional heteroskedasticity Variance Mathematical finance Finance Financial economics