Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news …

understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news …

incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion … technique for the underlying volatility process, we derive explicit expression for the solution of the FBSDE up to the third … order of volatility-of-volatility, which can be directly translated into the optimal investment strategy. We compare our …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

significant amounts of embedded leverage, this embedded leverage increases return volatility in proportion to the embedded …