论文题目是Volatility Derivatives – Variance and Volatility Swaps作者Joakim Marklund and Olle Karlsson

摘要：

本文研究了波动率衍生品中的方差互换和波动率互换。我们首先介绍了这两种衍生品的定义和原理，然后分别讨论了它们的定价方法和风险管理策略。我们发现，方差互换和波动率互换在市场中广泛使用，并且它们可以被用于投机和套期保值。此外，我们还分析了它们的优缺点，以及它们与其他波动率衍生品之间的联系。

关键词：方差互换；波动率互换；定价；风险管理；投机；套期保值；优缺点；波动率衍生品。

Abstract:

This paper studies variance swaps and volatility swaps, two types of volatility derivatives. We first introduce the definitions and principles of these derivatives, and then discuss their pricing methods and risk management strategies separately. We find that variance swaps and volatility swaps are widely used in the market and can be used for speculation and hedging. In addition, we also analyze their advantages and disadvantages, as well as their relationships with other volatility derivatives.

Keywords: variance swaps; volatility swaps; pricing; risk management; speculation; hedging; advantages and disadvantages; volatility derivatives