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Managing the volatility risk of portfolios of derivate securities : the Lagrangian uncertain volatility model

Avellaneda, Marco - In: Applied mathematical finance 3 (1996) 1, pp. 21-52

Persistent link: https://www.econbiz.de/10001209610

E-Arch model for implied volatility term structure of FX options

Zhu, Yingzi; Avellaneda, Marco - 1999

Persistent link: https://www.econbiz.de/10001491262

A risk-neutral stochastic volatility model

Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310

Persistent link: https://www.econbiz.de/10001240151

An E-ARCH model for the term structure of implied volatility of FX options

Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100

Persistent link: https://www.econbiz.de/10001226702

Calibrating volatility surfaces via relative-entropy minimization

Avellaneda, Marco (contributor) - In: Applied mathematical finance 4 (1997) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10001226743

Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options

Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10001449223

Statistics of VIX Futures and Their Applications to Trading Volatility Exchange-Traded Products

Avellaneda, Marco - 2018

We study the dynamics of VIX futures and ETNs/ETFs. We find that contrary to classical commodities, VIX and VIX futures exhibit large volatility and skewness, consistent with the absence of cash-and-carry arbitrage. The constant-maturity futures (CMF) term-structure can be modeled as a...

Persistent link: https://www.econbiz.de/10012932986

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

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

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