Weighted variance swaps hedge against impermanent loss

被引：0

作者：

Fukasawa, Masaaki ^{[1
]}

Maire, Basile ^{[2
]}

Wunsch, Marcus ^{[3
]}

机构：

[1] Osaka Univ, Grad Sch Engn Sci, Toyonaka, Japan

[2] Quantena AG, Zug, Switzerland

[3] Zurich Univ Appl Sci, Sch Management & Law, Zurich, Switzerland

来源：

关键词：

D O I：

10.1080/14697688.2023.2202708

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Impermanent Loss in Decentralized Finance can be hedged with weighted variance swaps

引用

页码：901 / 911

页数：11

共 50 条

[1] ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
Davis, Mark
Obloj, Jan
Raval, Vimal
[J]. MATHEMATICAL FINANCE, 2014, 24 (04) : 821 - 854
[2] Rebalancing Threshold Strategy with Trend Following Against Impermanent Loss
Tanaka, Shuntaro
Alcalde, Baptiste
[J]. 2024 IEEE INTERNATIONAL CONFERENCE ON DECENTRALIZED APPLICATIONS AND INFRASTRUCTURES, DAPPS 2024, 2024, : 33 - 34
[3] To Hedge against USD/CNY Exchange Rate Risk: with FX Forwards or Swaps?
Zheng Kuifang
[J]. ADVANCES IN MANAGEMENT OF TECHNOLOGY, PT 1, 2008, : 641 - 646
[4] Arithmetic variance swaps
Leontsinis, Stamatis
Alexander, Carol
[J]. QUANTITATIVE FINANCE, 2017, 17 (04) : 551 - 569
[5] HEDGING (CO) VARIANCE RISK WITH VARIANCE SWAPS
Da Fonseca, Jose
Grasselli, Martino
Ielpo, Florian
[J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2011, 14 (06) : 899 - 943
[6] Swap rate variance swaps
Merener, Nicolas
[J]. QUANTITATIVE FINANCE, 2012, 12 (02) : 249 - 261
[7] Hedge fund seeding with fees-for-guarantee swaps
Feng, Yun
Huang, Binghua
Zhang, Hai
[J]. EUROPEAN JOURNAL OF FINANCE, 2019, 25 (01): : 16 - 34
[8] The global minimum variance hedge
Wan-Yi Chiu
[J]. Review of Derivatives Research, 2020, 23 : 121 - 144
[9] The global minimum variance hedge
Chiu, Wan-Yi
[J]. REVIEW OF DERIVATIVES RESEARCH, 2020, 23 (02) : 121 - 144
[10] Variance Swaps with Deterministic and Stochastic Correlations
Han, Ah-Reum
Kim, Jeong-Hoon
Kim, See-Woo
[J]. COMPUTATIONAL ECONOMICS, 2021, 57 (04) : 1059 - 1092