Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Much research has been directed towards forecasting the volatility 1 of various
macroeconomic variables such as stock indices, interest rates and exchange rates …

Neoliberalism: The Key Concepts provides a critical guide to a vocabulary that has become
globally dominant over the past forty years. The language of neoliberalism both constructs …

This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

This paper presents simple closed-form expressions for volatility futures and option prices
and examines their implications for the characteristics of these securities. We show that the …

We explore the dynamic and directional network connectedness between implied volatility
measures of crude oil and the exchange rate of nine major currency pairs for a sample …

This paper examines the valuation of European-and American-style volatility options based
on a general equilibrium stochastic volatility framework. Properties of the optimal exercise …

This study analyses the new market for trading volatility; VIX futures. We first use market data
to establish the relationship between VIX futures prices and the index itself. We observe that …

This study investigates how uncertainty affects firms' target capital structure using a panel
data set of US public manufacturers between 2003 and 2018 and finds that high-uncertainty …