Hedging volatility risk

By Menachem Brenner, Ernest Y. Ou, Jin E. Zhang. 2006

76 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/2d01966c147b9570618e61ef8f80271abec37d19

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Peter P. Carr
2. George Skiadopoulos
3. George Dotsis
4. Dimitris Psychoyios
5. Raphael N. Markellos
6. Roger Lee

In Finance

1. Raphael N. Markellos
2. Roger Lee
3. Dimitris Psychoyios
4. George Dotsis
5. George Skiadopoulos
6. Peter P. Carr
7. Peter Tankov
8. V. Todorov

Citations in the corpus

• Robust Replication of Volatility Derivatives (2008, background): “VIX implementation issues arising from data limitations are addressed in Jiang-Tian [22].”
• The implied volatility smirk (2008, unknown): “Brenner et al. (2006) propose using derivatives on the at-the-money-forward straddle to trade and hedge volatility risk.”
• An empirical comparison of continuous-time models of implied volatility indices (2007, background): “Brenner et al. (2006) proposed and priced an option written on a straddle.”
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (2007, unknown): “To trade views on volatility, or to manage variance risk [4, 6, 18, 21, 22], it is important for investors to trade volatility directly.”
• A jump diffusion model for VIX volatility options and futures (2010, background): “empirical property of volatility (e.g., Hull and White, 1987; Stein and Stein, 1991; Scott, 1987; Brenner et al, 2006 ).”