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Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
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Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
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Trading signals in VIX futures
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew - In: Applied mathematical finance 28 (2021) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
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Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, A. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012012774
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Statistics of VIX futures and their applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, Andrew - In: The journal of investment strategies 7 (2018) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011880127
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Consistent time-homogeneous modeling of SPX and VIX derivatives
Papanicolaou, Andrew - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 907-940
Persistent link: https://www.econbiz.de/10013331067