KTH Matematik  

Matematisk Statistik

Tid: 2 november 2011 kl 11.15-12.00. (Observera dagen och tiden)

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Raphael Simonnet

Titel: Variance and volatility swaps: Back test of a volatility swap replication strategy (Examensarbete - Master thesis)

Abstract In this paper, we study variance and volatility swaps. These quite recent products give direct exposure to volatility which can be used in the goal of speculation or hedging. By studying variance swap's theory and replication, we show how it is possible to capture the realized volatility on a product using only vanilla options. This theory is then used to implement a volatility swap hedging strategy whose performance is evaluated based on historical data.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009