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Variance Notional vs. Vega Notional

Submitted by cahn on 30 September, 2009 - 2:21pm

In Variance Swap, the relationship between  Vega Notional (the dollar value per vega or volatility point) and Variance Notional (the dollar value per variance unit) is conventionally expressed as

\[VarianceNotional=\frac{VegaNotional}{2K_{Var}}\]

The $ 2K_{Var} $ comes from the first order Taylor expansion (expand the function $ f\left(\sigma_{Var}\right)=\sigma_{Var}^2-K_{Var}^2 $).

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What did I say then?

Pension funds don't deserve our money

Submitted by cahn on 15 May, 2004 - 6:41pm

The so-called experts reckon we're not saving enough for our retirement. This claim has the same credibility and motivation as Fred Elliott's belief that we're not eating enough meat.

If you want to know why we're not saving enough, just look at the latest numbers from performance consultants Russell Mellon Caps. They show that pension funds don't deserve to manage our money.

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