Trading and Hedging Bitcoin Volatility

Trading and Hedging Bitcoin Volatility

Society for Industrial and Applied Mathematics via YouTube Direct link

Variance Swap Rate Term Structure (Short End)

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22 of 33

Variance Swap Rate Term Structure (Short End)

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Classroom Contents

Trading and Hedging Bitcoin Volatility

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  1. 1 Intro
  2. 2 Section 1
  3. 3 Section 3
  4. 4 General Overview
  5. 5 Sector Returns
  6. 6 Correlation of BTC Returns with Gold and US Equities
  7. 7 Main Players in the Crypto Ecosystem
  8. 8 Stable Coins
  9. 9 Tether and BitFinex
  10. 10 On-Chain Exchanges
  11. 11 Large on-Chain Flows
  12. 12 On-Chain Data
  13. 13 Physical Volatility and Price Discovery
  14. 14 Comparison of VWAP Bitcoin and Ether Rates
  15. 15 Comparison of Crypto Market Indices
  16. 16 Skew Student t Asymmetric Markov Switching GARCH
  17. 17 BitMEX Exchange
  18. 18 Alexander and Heck (2020)
  19. 19 Price Discovery Methodology
  20. 20 2. Options and Variance Swaps
  21. 21 Implied Volatility Indices
  22. 22 Variance Swap Rate Term Structure (Short End)
  23. 23 Bitcoin Variance Risk Premium per S1 Notional
  24. 24 Reverse Leverage Effect in Bubble Regime
  25. 25 Hedging with Perpetuals
  26. 26 Alexander, Deng and Jun (2020)
  27. 27 Margin Mechanism
  28. 28 Probability of BitMEX Margin Call
  29. 29 Margins and Liquidations
  30. 30 Sensitivity Analysis of Optimal Strategy
  31. 31 Data and Correlations
  32. 32 Estimation of Tail Parameters
  33. 33 Summary So Far

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