Prof. Loriano Mancini (Swiss Federal Institute of Technology) Variance Swaps
samedi 02 jui 2016
Elvezio Ronchetti 60th birthday workshop
1Opening
2Prof. Anna-Clara Monti (Università degli Studi del Sannio)
3Prof. Roy Welsch (MIT)
4Prof. Alastair Young (Imperial College) 
5Prof. Yanyuan Ma (University of South Carolina)
6Prof. Alan Welsh (Australian National University)
7Prof. Loriano Mancini (Swiss Federal Institute of Technology)
8Closing
1Opening14:38
2Prof. Anna-Clara Monti (Università degli Studi del Sannio)55:07
3Prof. Roy Welsch (MIT)48:40
4Prof. Alastair Young (Imperial College) 01:02:13
5Prof. Yanyuan Ma (University of South Carolina)49:45
6Prof. Alan Welsh (Australian National University)01:01:19
7Prof. Loriano Mancini (Swiss Federal Institute of Technology)56:20
8Closing11:26
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.