The volatility derivative market:Variance Swap and VIX/VVIX strategies

Giacomo Maria Mustarelli

ISBN 10: 3639772792 / ISBN 13: 9783639772791

Editore: Edizioni Accademiche Italiane Jul 2015, 2015

Riguardo questo articolo

Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 160 pp. Englisch.

Codice articolo 9783639772791

Dati bibliografici

• Titolo: The volatility derivative market:Variance Swap and VIX/VVIX strategies
• Editore: Edizioni Accademiche Italiane Jul 2015
• Data di pubblicazione: 2015
• Lingua: Inglese
• ISBN 10: 3639772792
• ISBN 13: 9783639772791
• Rilegatura: Taschenbuch
• Condizione: Neu

Descrizione articolo

Riassunto

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.

L'autore

Dr. Giacomo Maria Mustarelli is currently a student at Imperial College, Uk, London in MSc Risk Management and Financial Engineering. He received his Bachelor in "Economics, finance and law for business administration" from "La Sapienza" University in Rome and he earned a MSc in Finance and Insurance in the same university with the highest grade.