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Table Of Contents

Part 1: Variance Swap Mechanics
1.1: Realised volatility
1.2: The variance swap contract
1.3: Vega notional and variance notional
1.4: Variance swap convexity
1.5: Variance swap example – accruing realised volatility
1.6: Variance swap mark-to-market
1.7: Forward variance
1.8: Variance swap contract specifications
1.9: Example variance swap term sheet
Part 2: The Variance Swap Market
2.1: Market development
2.2: Historical prices
2.3: Variance swaps and option volatilities
2.4: Pricing rules of thumb
2.5: What drives variance swap levels?
2.6: The volatility risk premium
2.7: Variance swaps as predictor of future volatility
2.8: Is variance swap convexity fairly priced?
2.9: Variance term structure
Part 3: Uses of Variance Swaps
3.1: Exploiting a volatility view
3.2: Specific hedging purposes
3.3: Rolling short variance
3.4: Diversification
3.5: Index variance spreads
3.6: Relative value single-stock volatility
3.7: Variance dispersion and correlation trading
3.8: Forward variance and volatility spikes
3.9: Trading the variance swap term structure
3.10: Skew and convexity trades
3.11: Cross asset class trades: trading equity volatility against credit
Part 4: Replication and Hedging
4.1: Delta hedging and dollar gamma
4.2: Theta - the cost of gamma
4.3: Options path-dependency: can volatility be captured by delta-hedging?
4.4: From options to variance swaps
4.5: Variance swap replication in one page
4.6: Sensitivity to skew and convexity
4.7: Variance swap Greeks
4.8: Setting up a replicating portfolio
4.9: Replication and hedging in practice
4.10: Effects of variance swap hedging
4.11: Why not volatility swaps?
Part 5: Future developments
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JP Morgan Variance Swaps

JP Morgan Variance Swaps

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Published by bigdad123

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Published by: bigdad123 on Nov 24, 2010
Copyright:Attribution Non-commercial


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