Estimation of Historical volatility and Allocation strategies using Variance Swaps
Lucio Fiorin
TL;DR
This paper reviews techniques for estimating historical volatility and pricing Variance Swaps, providing insights into their application in financial markets.
Contribution
It introduces a comprehensive review of methods for volatility estimation and Variance Swap pricing, highlighting practical approaches.
Findings
Effective methods for historical volatility estimation
Pricing strategies for Variance Swaps
Insights into application in financial markets
Abstract
In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Insurance, Mortality, Demography, Risk Management