This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies,...

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied volatility correlates strongly with the volatility skew in S&P...

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We...

The paper presents an overview of the literature on volatility measurement, modeling and forecasting, from the perspective of option pricing. The following conclusions are drawn. First, efficient volatility estimation utilizes intraday data and measures such as realized volatility (i.e. sum of...

W artykule przedstawiamy prostą parametryzację powierzchni zmienności w opcjach, których instrumentem bazowym jest zmienność implikowana z opcji na S&P 500 wyrażona indeksem VIX. W szczególności pokazujemy, że: (i) zmienność implikowana opcji ATM na VIX jest silnie skorelowana z...

The main idea of this research is to check the efficiency of the Black option pricing model on the basis of HF emerging market data. However, liquidity constraints - a typical feature of an emerging derivatives market - put severe limits for conducting such a study. That is the reason why...

This paper compares option pricing models, based on Black model notion (Black, 1976), especially focusing on the volatility models implied in the process of pricing. We calculated the Black model with historical (BHV), implied (BIV) and several different types of realized (BRV) volatility...

Option pricing models are the main subject of many research papers prepared both in academia and financial industry. Using high-frequency data for Nikkei225 index options, we check the properties of option pricing models with different assumptions concerning the volatility process (historical,...

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...

The paper presents the new approach to optimizing automatic transactional systems. We propose the multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover,...