Pricing Models of Volatility Products and Exotic Variance Derivatives
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Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for fo...
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods.
Features
Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variancederivatives
Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
Can be used as a university textbook in a topic course on pricing variance derivatives
Features
Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variancederivatives
Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
Can be used as a university textbook in a topic course on pricing variance derivatives
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