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    Gianluca Cassese

    Tutti gli articoli di Gianluca Cassese

    DEMS seminar

    Seminario prof. Loriano Mancini, EPFL Lausanne

    Title: 

    Variance Swaps

     

    Abstract:

    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. We extend recent approaches to model the term structure of variance swaps, inspired by the term structure literature on interest rates. Then, we provide theoretical and empirical analyses of optimal investment problems in variance swaps, index option, stock index, and risk free bond.

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  • Lingua/language:

    • Italiano
    • English
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