@techreport{NBERw16884,
 title = "Simple Variance Swaps",
 author = "Ian Martin",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "16884",
 year = "2011",
 month = "March",
 URL = "http://www.nber.org/papers/w16884",
 abstract = {The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused the single-name variance swap market to dry up completely.  This paper defines and analyzes a simple variance swap, a relative of the variance swap that in several respects has more desirable properties.  First, simple variance swaps are robust: they can be easily priced and hedged even if prices can jump.  Second, simple variance swaps supply a more accurate measure of market-implied variance than do variance swaps or the VIX index.  Third, simple variance swaps provide a better way to measure and to trade correlation.  The paper also explains how to interpret VIX in the presence of jumps.},
}