The VIX has traditionally been considered a forward indicator of realised volatility. This follows from its original formulation as the implied volatility of an option on the S%P 100 index and its later incarnation based on the fair price of a realised volatility swap. We focus on the related...

Path dependent securities depend on current and past values of underlying state variables. Consequently, the usual backward evaluation technique is difficult to apply since state variable values existing earlier in real time are unknown. This paper develops a series of propositions which makes...

In cross-spectral analysis, the tau statistic is used to infer lead-lag relationships between series in the time domain. Unfortunately, it is frequently inferred that tau is meaningful only when the phase diagram is linear. In this paper it is shown that tau is far more robust than is generally...

We investigate jump memory using an extensive database of short-term S&P 500 index options. Jump memory refers to the attenuation of the implied jump intensity and magnitude parameters following a crash event. We use a genetic algorithm to obtain a time series of implied parameter estimates and...

Absent liquidity in long-term futures or forward markets, firms use nearby contracts to hedge long-term commitments. To hedge commodities that exhibit stochastic convenience yield, adjustments to the naive stacked hedge are necessary. Simulated and empirical tests of the hedging model using oil,...

Exchange traded futures contracts often are not written on the specific asset that is a source of risk to a firm. The firm may attempt to manage this risk using futures contracts written on a related asset. This cross hedge exposes the firm to a new risk, the spread between the asset underlying...

This study measures the performance of stacked hedge techniques with applications to investment assets and to commercial commodities. The naive stacked hedge is evaluated along with three other versions of the stacked hedge, including those which use exponential and minimum variance ratios....

<section xml:id="fut21667-sec-0001"> The lattice approximation to a continuous time process is an especially useful way to value American and real options. We choose lattice probabilities by extending density matching for diffusions to density matching for jump diffusions. Technically, this requires that diffusion and jump...</section>