In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major … linear causality in the VIX index and its derivatives during January and February 2018. Due to the shortcomings of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial …

theory of development consistent with these three facts. I show that even when total factor productivity (TFP) growth and …

Credit index options cannot be priced as simple vanilla options. In this paper we derive the pricing formula using both … replication method and linear annuity mapping. We develop a model-free process to calculate a VIX-like credit volatility index … based on observable credit index options market. We imply all model parameters from market traded data …