Tid: 15 december 2009 kl 11.30.

Plats : Murex, 8 rue Bellini 75782 Paris cedex 16 France

Föredragshållare: Camille Bollengier

Titel: Modelling and pricing volatility derivatives (Examensarbete – Master thesis)

Abstract

Volatility is an important risk factor that has to be considered. Thus, volatility products have been created in order to hedge one's position against the volatility risk. The variance swap is first studied as it is a volatility product that is easy to handle since its pricing does not require any model. Then we propose four dierent pricing methods for the volatility swap that are based on a modied Heston model.

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