We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict …

-implied delta and delta-gamma hedging do not achieve minimum variance in the presence of price-volatility correlation, and these … replication with volatility risk management. Large-scale evidence on S&P 500 index options indicates that smile-implied delta …Options can be dynamically replicated using model-free Greeks extracted from the volatility smile. However, smile …

minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi …-static market of stocks and options. Based on duality results which link quantile hedging to a randomized composite hypothesis test … measure, which guarantees the existence of the optimal hedging strategy and enables numerical calculation of the quantile …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … featuring time-varying market volatility and volatility-of-volatility factors, both of which have negative market price of risk …

We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset … for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …-arbitrage bounds. In mathematical terms, it demands however that not just ambiguities about the volatility but also about the drift …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … time-varying market volatility and volatility-of-volatility factors, both of which have negative market price of risk. …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

When an investor delegates portfolio management to a hedge fund manager, whose risk-taking preference governs? Single …-period models with option-like incentives suggest stark variation in risk-taking across fund value and time as fund managers … risk-taking surface. Cross-sectional pooling of normalized returns allows precise estimation of the normalized risk …

We study business uncertainty in high- versus low-volatility environments by surveying over 31,000 managers across 41 … their mean absolute deviations. Analogously, we measure realized volatility using absolute forecast errors. We establish two … new facts. (1) Subjective uncertainty and realized volatility both decline with GDP per capita. (2) Managers underestimate …