The Delta of a Variance Swap

By Sébastien Bossu, Sebastian Gaitan-Escarpeta

Published 2026-09-08

Everscope rating

2042.6

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Analytical Derivation with Numerical Validation. Problem types: Regression, Optimization, Risk Management.

arXiv:2609.08959 · Paper rankings

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