We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008 … distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, and analyse their pricing performance, and implications for term structures of VIX futures and volatility 'skews.' We find …

volatility derivatives use the quadratic variation approximation as the continuous limit of the discrete realized variance … stochastic volatility models with jumps, we manage to obtain the saddlepoint approximation formulas for pricing variance products … and volatility derivatives using the small time asymptotic approximation of the Laplace transform of the discrete realized …

volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non … products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is … compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance …

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

the dynamics implied from the joint data but also in explaining the time series of option-implied volatility skew …

In this paper we give a model-free approximation for the price of forward starting volatility swaps. Moreover, we show … for pricing and hedging of forward starting volatility swaps …

, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic … interest rate and allows a correlation structure between the futures price process, the futures volatility process and the … interest rate process. The functional form of the futures price volatility is specified so that the model admits finite …