Hi @all,I am currently writing my master thesis on variance swaps and searching for another two papers. Does anyone know where to find them?1) Neuberger (1990), Volatility Trading, London Business School Working paper (I even sent him an email but unfortunately he doesn't have any digital copy of his own paper)2) Duanmu (2004), Rational Pricing of Options on Realized Volatility, Global Derivatives and Risk Management Conference, Madrid.Thanks a lot for your help,Robert

please send me a copy as well. i am interested. thanks.

Dude, if you have any good papers on Variance Swaps, pass them along...I am currently looking into these as well...Thanks,Ram

hi rob 2008... did you get the neuberger paper?

No, I didn't. I am still searching for it. It's kind of weird that Neuberger's paper is cited in many publications but nobody knows where to find it Nonetheless I am praying every day...

Send me an email if you still need the paper.

QuoteOriginally posted by: AntonioSend me an email if you still need the paper.Would you mind sending it to niki_teta@yahoo.deThanks

It wasn't the right one Does anyone know where to find the paper of Neuberger? It's becoming more and more a mysteryThanks in advance

Does anyone know where to find the second one? Would be great.

i tried but could not find it either. maybe it is just gone if the author doesnt have it

Is this the Paper you are looking for ?Superb Early Paper on Volatility Derivatives - Neuberger

Hi divineprofit,sorry for my late reply. Thats exactely the paper I 've been looking for since several months. Thanks a lot for your help!!Rob

For anybody that has read Neuberger's paper, I am slightly confused as to why equation (2) should be satisfied. It seems to indicate that the trader assumes volatility to be a deterministic function of time. Suppose, instead, that the trader believes that volatility is stochastic (e.g. Heston)dS = (Z)^1/2 S dWdZ = k ( m - Z ) dt + a (Z)^1/2 dBdW dB = rho dtThen the price of an option should be a function C(t,S,Z), which satisfiesC_t + (1/2) z^2 s^2 C_ss + k (m-z) C_z + (1/2) a z C_zz + a rho z C_sz = 0C(T,s,z) = F(s)Even if the trader has a view about the current level of volatility (say Zhat), which could be different than the true Z, he can't possibly expect to know Z_t for all t.Any thoughts you have would be helpful.