# Questions tagged [variance]

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### Overlapping Data

I have a daily time series data spanning over 22 years. I need to compute some meaningful yearly standard deviation statistics / generate probability distribution and estimate tail risk. 22 years ...
42 views

### Total Variance of an asset in case of stochastic rates

Let's suppose the underlying S follows a BS dynamic with the drift being the short rate that follows a short dynamic model. the "local volatility" of the equity should be the implied volatility from ...
193 views

### VarSwap PnL formula

I came across this formula for the varswap PNL: let $r_i$ be the log return over $[t_i,t_{i+1}]$ and suppose we risk manage the VS at a fixed implied volatility sigma, the PnL of (the payoff) over ...
160 views

### How can I compute a realized variance for raw instead of log returns?

Whenever I read about calculating realized variance, people are using log returns. However, I was asking myself whether it is possible to calculate realized variance also for simple, raw returns. ...
260 views

### Does delta adjusted exposure make sense for an equity variance swap?

The software vendor that I am using for the calculation of the market risk exposure claim that they cannot compute the delta adjusted of the equity variance swap positions since there is no specific ...
246 views

### Quantitative Strategy on Variance Swap (master thesis)

I am doing a master thesis on Variance Swap and my dear friend told me I could find some valuable help on the "Quantitative Finance Stack Exchange". I would like to apologise beforehand, if my ...