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1. 1. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Johan Röring; [2017]
   Keywords : ;

   Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE