A variance swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement,...

A conditional variance swap is a type of variance swap or swap derivative product that allows investors to take exposure to volatility in the price of...

risk management Interest rate swap Multi-curve framework PnL Explained Swap Execution Facility Total return swap Variance swap Yield curve Saunders, A.; Cornett...

Variance risk premium is a phenomenon on the variance swap market, of the variance swap strike being greater than the realized variance on average. For...

the implied volatility of a variance swap – and not that of a volatility swap, volatility being the square root of variance, or standard deviation. The...

type is variance swap, which is, in other words, the futures contract on realized variance. With a similar notion to the vanilla options, variance options...

volatility-dependent options (for example, European calls, or more explicitly, variance swaps). Hence we could add a volatility-dependent asset;[citation needed]...

a variance swap on the index and buy the variance swaps on the individual constituents; this particular kind of spread trade is called a variance dispersion...

difference between the two is convexity: The payoff of a variance swap is linear with variance but convex with volatility. That means, inevitably, a static...

contract pricing Swap valuation Currency swap#Valuation and Pricing Interest rate swap#Valuation and pricing Multi-curve framework Variance swap#Pricing and...