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 …

of multi-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We … different hedge ratios for VIX options …

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 …

-factor model, we demonstrate how to calculate the optimal hedging ratio for VIX future to hedge VIX option. We derived the … for VIX options. …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

additionalstandard options. …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …