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xDan
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Joined: August 20th, 2002, 2:24 pm

volatility swap convexity adjustment

July 12th, 2005, 2:43 pm

Use log contract with a Short and a Long position with two different maturities " short term maturity (t) and long term maturity (T)" . Then calibrate the parameters to the forwart Variance starting at (t) with maturity (T-t).