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
ISBN: | 9781032204321 |
Publication date: | 27th May 2024 |
Author: | Y K Kwok, Wendong Zheng |
Publisher: | Chapman & Hall/CRC an imprint of CRC Press |
Format: | Paperback |
Pagination: | 268 pages |
Series: | Chapman & Hall/CRC Financial Mathematics Series |
Genres: |
Economics Mathematical modelling Hospitality and service industries Finance and accounting |