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This book presents a comprehensive overview
of the subject of
"Consistent Variance Curve Models", a concept for
variance swap markets which is very closely related
to that
of consistent Heath-Jarrow-Merton models for
interest
rate markets. As the title suggests, the book
provides both
a sound theoretical background on such models as
well as guidance on how to
implement them. In the course of the discussion, we
address questions of existence, market completeness
and integrability as well as efficient simulation
and evaluation techniques.
Moroever, the book also has an additional chapter
on "fitted" variance curve models, most
notably "Fitted Heston",
which has proven to be a very valuable tool for
risk-managing positions of options on variance.
Comparison with other models and implementation
considerations are provided.
This book is a revised version of my PhD
thesis "Volatility Markets: Consistent modeling,
hedging and practical implementation", which has
been written parallel to my work in Deutsche Bank''s
Quantitative Products Analytics team in London.
of the subject of
"Consistent Variance Curve Models", a concept for
variance swap markets which is very closely related
to that
of consistent Heath-Jarrow-Merton models for
interest
rate markets. As the title suggests, the book
provides both
a sound theoretical background on such models as
well as guidance on how to
implement them. In the course of the discussion, we
address questions of existence, market completeness
and integrability as well as efficient simulation
and evaluation techniques.
Moroever, the book also has an additional chapter
on "fitted" variance curve models, most
notably "Fitted Heston",
which has proven to be a very valuable tool for
risk-managing positions of options on variance.
Comparison with other models and implementation
considerations are provided.
This book is a revised version of my PhD
thesis "Volatility Markets: Consistent modeling,
hedging and practical implementation", which has
been written parallel to my work in Deutsche Bank''s
Quantitative Products Analytics team in London.