<r>How about this?<URL url="http://www.classiccmp.org/transputer/finengineer/%5BBNP%20Paribas%5D%20European%20Volatility%20Tracker%20-%20Feb%202006.pdfhttp://www.classiccmp.org/transputer/finengineer/%5BBNP%20Paribas%5D%20Volatility%20Investing%20Handbook.pdf"><LINK_TEXT text="http://www.classiccmp....

<t>tough question... if a stock goes up +5% everyday, the realised vol is 80% and the standard deviation is 0%. I know don't which measure is the most interesting but interestinlgy by default, Bloomberg <HVG> will show the standard deviation... I wonder if some people look at this to make their vol ...

<t>To replicate a corridor variance swap, you compute the strike with a long position in the usual strip of calls and puts used to replicated the variance swap but only for the strike in the range.To replicate a conditional variance swap (the payoff is adjusted with the proba to be in the range), th...

<r>Simply by using the partial fraction decomposition?[L=]<URL url="http://en.wikipedia.org/wiki/Partial_fraction_decomposition_over_the_reals"><LINK_TEXT text="http://en.wikipedia.org/wiki/Partial_fr ... _the_reals">http://en.wikipedia.org/wiki/Partial_fraction_decomposition_over_the_reals</LINK_TE...

<t>I agree that everything is consistent as varswaps are priced "without mean" and the realised vol is wihout mean too. However, the impact of this assumption could have been significant.To illustrate this, I've looked into the follwing classic strategy: Short STOXX50E varswap front month (100k star...

<t>Thanks for the answer. In theory or at least in any model with prices generated in a normally distributed manner with zero mean, the expected variance predicts the realised vol with and without mean as the mean rate of return to be zero is an assumption of the model.As the market standard for any...

<t>Hi guys,The market standard for the realised volatility calculation of a variance swap is: Sum(ln(S(i)/S(i-1)), .i.e. the "standard deviation without the mean. In theory, is the expectation of realised vol:1- the expectation of the "standard" realised vol (as defined for a varswap) 2- the realise...

<t>it is not only a constant it also the current fair variance level - so basically you want to express your exposure in volatility terms (as opposed to the variance, to which you're exposed linearly) - so dividing by 2K or 2 * "current level of fair var" - For a small move around the strike, this i...

<t>1. The first derivative of K^2 is 2K - at inception you vega exposure is the vega notional, since the variance unit is multiplied by 2K - it changes when vol are remarked and the convexity change everything (relative to a volswap)2. 2.5 is a market convention (somtimes 2 but banks are reluctant t...

bid-ask on major indices (SX5E, FTSE, SPX) for option on variance is around 0.8vol to 1vol

If you have some volatility views on more than 2 underlying, you now can trade for ex a Best-Of (i.e. you take the best varswap) Put on Var - you will be short vol like for a standard put on var, however the premium is much lower

Worst-of / Best-of Option on Variance

I would be very interested in reading your paper - please could you fwd it to s.krol@libertysurf.fr

quick and dirty: varswap = ATM fwd vol * SQRT ( 1 + T * skew^2) and skew = [vol (90,T) - vol(100,T)]*[90 - 100]

<t>it depends you can either be a fundemental analyst (then extensive knowledge of the companies + CFA knowledge required) or quantitative analyst if you'd like to work on something more like stat. strategyIdeally, I suppose it's better to have a previous experience, a good strategist would be someo...