Variance Swaps Explained
1. Context
In this video from the FRM Part 1 and CFA Level 3 curriculum, we take a look at Variance Swaps and explore their mechanics and through a simple example how they can be put to use in practice. We also go through the specifics of how realized variance is calculated, how are variance swaps priced and sized (i.e. setting of variance notional). For more information about the FRM Part 1 preparation course, please visit the course page.
| Area | Financial Markets and Products |
| Reading | Exotic Options |
| Reference | Chapter 15, Exotic Options, GARP Official Books (Book 3, Quantitative Analysis). |