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    Gianluca Cassese

    All posts by Gianluca Cassese

    (Italiano) DEMS seminar

    Seminar prof. Loriano MANCINI (EPFL Lausanne)


    Variance Swaps



    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.

  • Lingua/language:

    • Italiano
    • English
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