The Information Content of Implied Co-Volatility and Co-Variance Swap

• Main Author: TING, Christopher
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: quanto futures; covariance; covolatility; CME Nikkei; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3423
• Institution: Singapore Management University

This paper discusses quanto spread trading strategy and introduces a simple model that allows the co-variance to be implied from the quanto spread. A synthetic co-variance swap is then constructed with the implied co-variance as the fixed rate. This paper also provides an empirical analysis over the...