Transcription of Quantitative Strategies Research Notes - Emanuel Derman
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Quantitative StrategiesResearch NotesGoldmanSachsMarch 1999 MoreThan You Ever Wanted To know *AboutVolatility SwapsKresimir DemeterfiEmanuel DermanMichael KamalJoseph Zou_____*But Less than Can Be SaidQUANTITATIVE Strategies Research NOTESS achsGoldman-2 Copyright 1999 Goldman, Sachs & Co. All rights material is for your private information, and we are not soliciting any action based upon it. This report is not to be construed asan offer to sell or the solicitation of an offer to buy any security in any jurisdiction where such an offer or solicitation would beillegal. Certain transactions, including those involving futures, options and high yield securities, give rise to substantial risk and arenot suitable for all investors.
Quantitative Strategies Research Notes Goldman Sachs March 1999 More Than You Ever Wanted To Know* ... This provides a much more direct method than trading and hedging options. For example, if you foresee a rapid decline in political and financial turmoil after a forthcoming elec-
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