What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster. Once troubles arise, it is difficult to take the necessary actions that eliminate the problem. Moreover, many hedge fund operators tend not to...

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...

The utility indifference framework has received a lot of attention, because it is based on a utility maximization principle, which is one of the most fundamental principles of economics, for pricing a contingent claim. The price based on utility indifference framework is the maximum or minimum...

In contrast to conventional model-based derivative pricing, a recent stream of research aims to investigate what prices are consistent with absence of arbitrage, given only the current prices of traded options on the same underlying. This paper gives a succinct survey of work in this area. After...