/

Nematrian Reference Library

[this page | back links]

Set out below is information (held by the Nematrian website) on the reference you have selected


ReferenceTitleLink
Soklakov, A. (2008)Information derivatives

Abstract

"Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of ‘information derivatives’ includes the standard volatility products (for example, variance and gamma swaps) as special cases, which suggests the use of liquidity models as a basis for further refinement of standard volatility derivatives."


See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.
Desktop view | Switch to Mobile