It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This result has been established using high frequency volatility...

We analyze the VIX futures market with a focus on the exchange-traded noteswritten on such contracts, in particular we investigate the VXX notes tracking theshort-end part of the futures term structure. Inspired by recent developments incommodity smile modelling, we present a multi-factor...

In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized volatility of the portfolio on a certain level. The uncertainty...