We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

not perfect, but more efficient as a hedging tool for the volatility exposure than the standard variance swap. In addition …This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a … weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to …