Granger-causality between speculative and hedging ratios and volatility but also assesses their interactions through variance …This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns …

) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models …We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

implied volatility surfaces. We outline some graphical ideas on how one can use this information descriptively and … prescriptively and furthermore analyse the recovered moments – expected return, volatility, skewness and kurtosis – from the implied …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …

distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, and analyse their pricing performance, and implications for term structures of VIX futures and volatility 'skews.' We find … that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices VIX …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We …

We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and … volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non … products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is …

for pricing and hedging of forward starting volatility swaps …In this paper we give a model-free approximation for the price of forward starting volatility swaps. Moreover, we show …

derivatives in a stochastic volatility model with jumps. This is motivated by the recent developments of the VIX derivatives … exposure to the volatility risk as compared to equity derivatives. Based on the closed-form formula. we determine explicitly …

-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the …