Conditional variance swaps are similar to standard variance swaps but variance exposure is limited to a predefined range of underlying levels. Conditional variance swaps are similar to standard ...
The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs) are often studied by some parametric models but with two big issues: ...
Asset managers have been piling into exotic conditional variance swaps on fx as a way to hedge equity portfolios from a possible double-dip recession. The swaps allow investors to take a view on the ...
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