We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when …-post returns to VIX futures with a coefficient near one, and 2) Falling ex-ante premiums predict increasing ex-post market and … investment risk, creating profitable trading opportunities. Falling hedging demand helps explain this behavior, as premiums and …

, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

-of-volatility measures, identified model-free from options data as the VIX and VVIX indices, respectively, are only weakly related to each …

-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test … minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi … measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile …

futures contracts. We find that a small set of futures traded on major international exchanges are sufficient only for hedging … crucial for hedging their macroeconomic risks. The hedging is more effective in countries where export/import depends less on …