We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

volatility control strategies and volatility target approaches to investment have gained a lot of interest as strategies able to … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and … target volatility approach, into a multiperiod portfolio optimization model, through the introduction of a local volatility …