The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
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Frido Rolloos introduces the forward start dual volatility swap, which can be regarded as a volatility equivalent of the gamma swap for variance. Nonparametric approximations for the forward start volatility swap and its dual are given, as well as for their difference, which is the implied covariance between the return of the asset and its realised volatility
When implied volatility is plotted against strike, its most salient feature is what practitioners call
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