SAAD SLAOUI

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Variance Dispersion and Correlation Swaps

Number of pages: 14 Posted: 08 Jul 2007 Last Revised: 17 Feb 2010
Antoine (Jack) Jacquier and SAAD SLAOUI
Imperial College London and affiliation not provided to SSRN
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Abstract:

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Variance Swaps, Gamma Swaps, Correlation Swaps, dispersion trades