The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market de Mustarelli, Giacomo Maria; Trischitta, Claudio: New (2015)

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N� de ref. del art�culo I-9783639772791

Detalles bibliogr�ficos

T�tulo: The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
Editor: Edizioni Accademiche Italiane
Fecha de publicaci�n: 2015
Idioma: Ingl�s
ISBN 10: 3639772792
ISBN 13: 9783639772791
Encuadernaci�n: Encuadernaci�n de tapa blanda
Estado: New

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Sinopsis

In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.

Rese�a del editor

In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.

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