Forward Volatility Agreement

[RussianMike]

Hi,

Does anyone have any good papers/knowledge of forward volatility agreements?

Thanks in advance,
Mike

 

[Christian]

http://www.ederman.com/new/docs/gs-volatility_swaps.pdf

This is a pretty good paper from the Goldman Sachs quantitative research team. I referenced this paper extensively while I was doing research on VIX over this summer.