Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … probability, while probabilities are derived from an estimated stochastic volatility model of the form GARCH components with … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …