Equity markets

Realised volatility and variance: options via swaps

Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps - or alternatively vanilla options - as pricing benchmarks and hedging instruments…

A flawed structure

Rising default rates in the US subprime mortgage market have caused serious difficulties for lenders, with some filing for bankruptcy. Regulators have demanded a tightening of underwriting standards, but bankers say other factors were also at play.

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