swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global … hypothesis that financial intermediaries are marginal investors in the variance swap market. …

-reverting logarithmic models, as well as the convexity adjustment of VIX future from forward variance swap, which has a liquid variance swap …. Another strategy is to calibrate them to convexity adjustment of VIX future from forward variance swap, which can be …