variance swaps like derivatives

[Kamil]

Dear all,

I am not very knowledgeable about the variety of derivatives existing today, however I want to know how many "variance swap" like derivatives out there? Could you please name me a few I can find more info about?

What I mean by "like" is the structure of payoff, it should be path dependent which variance swap is and the payoff should consist of independent increments, because variance swaps has a payoff of a sum $[\ln(S_i)/S_{i-1}]^2$

thanks!

 

[latency]

vix options and futures?

 

[koupparis]

Any swap has a path dependent payoff. IR swaps, equity swaps, dividend swaps, skewness swaps ... and on and on. I'm sure there are some exotic options out there with those features too, cliquets come to mind.

 

[financeguy]

you're really looking at just volatility swaps, variance swaps, and correlation swaps that have that sort of payoff structure. from there you just have more bespoke rules tacked on to them to give the investor the precise exposure he wants.. for example a corridor variance swap only accumulates variance if the underlying is within certain bounds.. gamma swaps weight each fixing by the level of the underlying.. you can do a forward starting variance swap (fixings don't start until some time in the future).. moment swaps (i.e. skewness/kurtosis swaps) exist in theory but i've never seen one actually trade for real.. covariance swaps exist in theory but again never seen one of these trade in real life