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. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of 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. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods.
Features
- Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives
- Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
- Can be used as a university textbook in a topic course on pricing variance derivatives
- ISBN10 1032199024
- ISBN13 9781032199023
- Publish Date 14 May 2022 (first published 8 May 2022)
- Publish Status Active
- Publish Country GB
- Imprint Taylor & Francis Ltd
- Format Hardcover
- Pages 268
- Language English