Variance swaps

• Equity markets

Corridor variance swaps

This article studies a recent variation of a variance swap called a corridor variance swap (CVS). For this swap, returns are not counted in the realised variance calculation if the reference index level is outside some specified corridor. CVSs allow…

• 01 Feb 2004

• Infrastructure

Volatility swaps made simple

Volatility

• 01 Jan 2000

• Infrastructure

Market risk of variance swaps

Swaps

• 01 Oct 1999