The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...