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Variance swaps on underlyings other than Equity
With the huge amount of trading in the var swap market for equities, has there any work been done on variance swaps/vol swaps for non equity underlyings i.e. interest rates, CMS rates etc. Any links to relevent papers will be much appreciated.
Last edited by achilles on July 18th, 2005, 10:00 pm, edited 1 time in total.