correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform … from S&P100 index and equity options, the performance of commodity trading advisors: a mean-variance-ratio test approach … simulating Weibull models of risk or price durations: an application to ACD models, valuation of double trigger catastrophe …

, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility … as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and … put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk …

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …