Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Standard view
Full view
of .
Look up keyword or section
Like this

Table Of Contents

Volatility investing: an old story with some recent innovations
Volatility investing: the traditional way
Defining volatility
Taking vol positions by using straddles/strangles
Taking vol positions by delta-hedging options
The emergence of variance swaps and their valuation
The variance swap mechanism
Pricing: the intuitive approach
Pricing: Carr and Madan’s formal approach
Why not volatility swaps?
Characteristics of volatility
The behavior of variance swap strike prices
Variance swap strike prices as a forecast of future realized volatility
The variance risk premium
Why use variance swaps?
Implied/realized volatility arbitrage
Implied vs. realized volatility arbitrage
Volatility pairs and dispersion trading
Hedging structured products
Immunizing volatility risk of hedge fund strategies
Third-generation volatility products
Gamma swaps
Orderly dispersion trading
Forward-start variance swaps
Corridor variance swaps
Up and down corridor variance swaps
Up and down conditional variance swaps
Riding the smile
Correlation trading
Hedging options when volatility is unknown
Valuing gamma swaps
Example of capped variance-swap termsheet
References and further reading
0 of .
Results for:
No results containing your search query
P. 1
[BNP Paribas] Volatility Investing Handbook

[BNP Paribas] Volatility Investing Handbook

Ratings: (0)|Views: 799|Likes:
Published by Saad Sabouni

More info:

Published by: Saad Sabouni on Feb 01, 2011
Copyright:Attribution Non-commercial


Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less





You're Reading a Free Preview
Pages 5 to 43 are not shown in this preview.

Activity (5)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
mshchetk liked this
Mark Griffiths liked this

You're Reading a Free Preview

/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->