the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets …

volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the `implied BSM’ model in which an option …’s delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity …

Recent research advocates volatility diversification for long equity investors. It can even be justified when short … crises are clear but we show that the high transactions costs and negative carry and roll yield on volatility futures during … normal periods would outweigh any benefits gained unless volatility trades are carefully timed. Our analysis highlights the …

of implied volatility smoothing and maximum entropy risk-neutral density estimation techniques. By using bid/ask quotes … outperform the probability densities obtained using the implied volatility smoothing method. We also identify which moments of …