Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …

significant outperformance. In the months that follow large jumps, strategies exposing to long volatility and extreme risk tend to … Brownian motion, strategies exposing to short volatility tend to deliver best performance. Hedge funds therefore deliver out …

Existing research examines the impact of volatility shocks on the relative pricing of long-term vs. short-term options …

Interest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004 … structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realized … volatility and in the compensation for volatility risk …

joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the … as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1) a … financial product to hedge a portfolio against volatility risk; (2) a market risk measure used to analyze risk flows from …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

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 …