VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

By Yingzi Zhu, Jin E. Zhang. 2007

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The Term Structure of VIX (2012, background): “Zhu and Zhang (2007) extend Zhang and Zhu (2006) model by allowing long-term mean level of variance to be time-dependent.”
An Analytical Formula for VIX Futures and its Applications (2012, background): “On the other hand, Zhu & Zhang (2007) left their final VIX futures pricing formula in the form of two-dimensional integral without evaluating the complex-valued Fourier inversion.”
Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, methodology): “…the square root mean-reverting process for volatility futures and options (Grunbichler and Longstaff (1996)), the Heston1 model-based process for volatility futures (Zhang and Zhu (2006)), etc. Zhu and Zhang (2007) also proposed a non-arbitrage model for VIX futures based on VIX term structures.”