This paper investigates whether volatility futures prices per se can be forecasted by studying the fast growing VIX futures market. To this end, alternative model specifications are employed. Point and interval out-of sample forecasts are constructed and evaluated under various statistical...

This paper presents a new approach to modeling the dynamics of implied distributions. First, we obtain a parsimonious description of the dynamics of the Samp;P 500 implied cumulative distribution functions (CDFs) by applying Principal Components Analysis. Subsequently, we develop new...

There is a growing literature on implied volatility indices in developed markets. However, no research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of...

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity Samp;P 500 implied distributions are extracted and subsequently transformed to the corresponding...

We document that properly scaled deviations from put-call parity estimate the contribution of market frictions to expected returns (CFER) accurately, by means of a non-parametric theoretically founded identification strategy. The required conditions are that our estimator predicts the underlying...

This paper surveys the literature that deals with the informational content of market option prices for the purposes of quantitative asset management. We review studies that have investigated whether market option prices may help a portfolio manager in the stock selection process, portfolio...

We provide first-time evidence of the real-time characteristics and drivers of jumps in option prices. To this end, we employ high-frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are...

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We develop an equilibrium model under partial information in which a rational Bayesian learner prices...

Motivated by the papers of Dupire (1992) and Derman and Kani (1997), we want to investigate the number of shocks that move the whole implied volatility surface, their interpretation and their correlation with percentage changes in the underlying asset. This work differs from Skiadopoulos, Hodges...

This empirical study is motivated by the models of Dupire (1992) and Derman and Kani (1997). We investigate the number and shape of shocks that move implied volatility smiles and subsequently we look at the correlation of changes in volatility with changes in the underlying asset. We achieve...