ISDA - Variance Swaps and their Documentation
Variance Swaps and their DocumentationISDA Symposium
- Details of 2007 Americas Master Variance Swap Confirmation Agreement, including treatment of Dividends, Disrupted Days and their impact, and Extraordinary Events• Changes to Expected N and Cancellation and Payment formulas
- The economic basics, including who uses variance swaps and why
- Details of hedging strategies for index and share variance swaps, including initial hedging and adjustments of hedges in the cash and listed markets
- Discussion of some of the variations on variance, including conditional variance swaps, options and dispersion trading.
equity derivatives, EQD, variance swaps, derivatives documentation
Labels: derivatives documentation, EQD, equity derivatives, variance swaps
posted by Victor Lloyd Smith @ 5:45 PM
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