Wilmott Inner Circle

The Irony in the Variance Swaps

You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]

Articles

Introduction to Variance Swaps

The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]