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 …

This paper studies the three main markets for emission allowances within the European
Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate …

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 study formalizes the departure between risk-neutral and physical index return
volatilities, termed volatility spreads. Theoretically, the departure between risk-neutral and …

We show that the information in European option prices reveals, robustly and
nonparametrically, the no-arbitrage prices of general volatility derivatives–contracts on the …

This study examines the price‐discovery function and information efficiency of a fast growing
volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear …

A model is developed for pricing volatility derivatives, such as variance swaps and volatility
swaps under a continuous‐time Markov‐modulated version of the stochastic volatility (SV) …

By analyzing the daily realized volatility series calculated from intraday stock price
observations, this study examines the direct causality between one-day-ahead aggregate …

This comprehensive guide offers traders, quants, and students the tools and techniques for
using advanced models for pricing options. The accompanying website includes data files …