Pricing Models Of Volatility Products And Exotic Variance Derivatives (Chapman And Hall/Crc Financial Mathematics Series)

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. It begins with the presentation of volatility trading and uses of variance derivatives, and then moves on to discuss the robust replication strategy of continuously monitored variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. Features Useful for practitioners and quants in the financial industry who need to make choices between pricing models of variance derivatives. Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products. Could be used as a textbook in a topic course on pricing variance derivatives at universities.

• | Author: Yue Kuen Kwok|Wendong Zheng
• | Publisher: Chapman and Hall/CRC
• | Publication Date: May 14, 2022
• | Number of Pages: 268 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 1032199024
• | ISBN-13: 9781032199023