volatility jump diffusion model …

strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … selling of VIX instruments could have substantial volatility jump risk exposure which can result in economically meaningful … buys VIX calls – had lower volatility and less severe maximum drawdowns than the stock and commodity benchmark indexes …

The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll … yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …; (iii) using volatility contracts as extreme downside hedges can be a viable alternative to buying out-of-the-money S&P 500 …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

derivative effect is the most prominent. The result implies that both risk sources should be considered in the implementation of …

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 …

-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term …. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration …