volatility jump diffusion model …

We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008 … 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 …

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 … compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance …

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

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 … the portfolio improvement brought by the inclusion of the VIX derivative, and establish that it is positive theoretically …

We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi … distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, analyse their pricing performance, and implications for term structures of VIX futures and volatility "skews". We find that a …

management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient … under Heston stochastic volatility, the associated option deltas, gammas and vegas, and CDS pricing that our method …