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Prof. Loriano Mancini (Swiss Federal Institute of Technology)

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Variance Swaps

Loriano Mancini

samedi, 2 juillet 2016

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Geneva school of economics and management - RESEARCH CENTER FOR STATISTICS

Variance swaps are basic contracts to trade volatility. Over the past few decades variance swap
markets have experienced an impressive growth, reaching enormous trading volumes. I will review
recent approaches to model the term structure of variance swaps, inspired by the term structure
literature on interest rates. Then, I will present theoretical and empirical analyses of optimal
investment problems in variance swaps, index option, stock index, and risk free bond. This talk is
mostly based on joint work with Damir Filipovic and Elise Gourier.

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