scholarly journals Forecasting returns in the VIX futures market

2019 ◽  
Vol 35 (4) ◽  
pp. 1193-1210 ◽  
Author(s):  
Nick Taylor
Keyword(s):  
Futures Market ◽  
Vix Futures ◽  
Forecasting Returns

Causality in the VIX futures market

2011 ◽  
Vol 32 (1) ◽  
pp. 24-46 ◽  
Author(s):  
Jinghong Shu ◽  
Jin E. Zhang
Keyword(s):  
Futures Market ◽  
Vix Futures

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING

2007 ◽  
Vol 10 (01) ◽  
pp. 111-127 ◽  
Author(s):  
YINGZI ZHU ◽  
JIN E. ZHANG
Keyword(s):  
Term Structure ◽  
Futures Market ◽  
Options Market ◽  
Pricing Model ◽  
No Arbitrage ◽  
Drift Term ◽  
Model Combining ◽  
Vix Futures ◽  
Volatility Derivatives ◽  
Futures Pricing

Using no arbitrage principle, we derive a relation between the drift term of risk-neutral dynamics for instantaneous variance and the term structure of forward variance. We show that the forward variance curve can be derived from options market. Based on the variance term structure, we derive a no arbitrage pricing model for VIX futures pricing. The model is the first no arbitrage model combining options market and VIX futures market. The model can be easily generalized to price other volatility derivatives.

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