frolloos wrote:fomisha wrote:lovenatalya wrote: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.