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lovenatalya
Topic Author
Posts: 287
Joined: December 10th, 2013, 5:54 pm

Re: Volatility Swap Hedging

May 23rd, 2018, 3:02 am

What are the hedging methods for volatility swap (rather than variance swap)? What are the possibilities of setting up a static, semi-static or dynamic hedging? 
Check out this post on consistent valuation and risk management of vol derivatives and vanilla options:
https://www.linkedin.com/pulse/vola-dyn ... fomytskyi/
That looks interesting. Is there a technical paper on your valuation and risk mgt method or is it proprietary?
Second frolloos' comment.
 
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fomisha
Posts: 57
Joined: December 30th, 2003, 4:28 pm

Re: Volatility Swap Hedging

May 23rd, 2018, 6:22 pm

We don't have any paper in the public domain at the moment. There are several components which are important:
1) Robust fitting of parametric bias-free and arbitrage volatility surfaces. With a vol surface one can price a log contract.
2) Estimation of the distribution for the variance. 
3) Volatility dynamics, i.e. how a vol surface moves when the underlier moves.

pm me if you want to discuss offline. 
 
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frolloos
Posts: 1566
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Volatility Swap Hedging

May 26th, 2018, 11:14 am

sorry for late reply, but Thanks and will PM you in a couple of days
 
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frolloos
Posts: 1566
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Volatility Swap Hedging

May 31st, 2018, 1:10 pm

We don't have any paper in the public domain at the moment. There are several components which are important:
1) Robust fitting of parametric bias-free and arbitrage volatility surfaces. With a vol surface one can price a log contract.
2) Estimation of the distribution for the variance. 
3) Volatility dynamics, i.e. how a vol surface moves when the underlier moves.

pm me if you want to discuss offline. 
pm-ed you. 
thanks.
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