Option Pricing, Interest Rates and Risk Management: Towards a Theory of Volatility Trading

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Subfields: Finance

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Expected Stock Returns and Variance Risk Premia (2009, positive): “As shown by Carr and Madan (1998); Demeterfi et al. (1999); and Britten-Jones and Neuberger (2000), the market’s risk-neutral expectation of the total return variation between time t and t + 1 conditional on time t information, or the implied variance IVt , may then be expressed in a “model-free” fa”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, background): “Neuberger (1990), Carr and Madan (1998) , Demeterfi, Derman, Kamal, and Zou (1999), Carr and Lewis (2004).”
The Term Structure of VIX (2012, methodology): “Carr and Madan (1998) and Demeterfi et al. (1999) provide theoretical fundamental for the CBOE revised VIX.”
THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004, positive): “In general, we prove the moment formula for implied volatility at large strikes: 1 2βR + βR 8 − 1 2 = sup{p : ES1+pT ∞}.”
Extracting Model-Free Volatility from Option Prices (2007, methodology): “It is further developed and refined by Carr and Madan [1998], Demeterfi et al. [1999a, 1999b], Britten-Jones and Neuberger [2000], Bakshi, Kapadia and Madan [2003], Carr and Wu [2004], and Jiang and Tian [2005]. We show that the variance measure underlying the new VIX index is theoretically equivale”