Risk Premiums and VIX Derivatives Pricing

2018 ◽  
Author(s):  
Peixuan Yuan
Keyword(s):  
Derivatives Pricing ◽  
Risk Premiums ◽  
Vix Derivatives

Time-Varying Skew in VIX Derivatives Pricing

2020 ◽  
Author(s):  
Peixuan Yuan
Keyword(s):  
Time Varying ◽  
Derivatives Pricing ◽  
Vix Derivatives

Time-Varying Skew in VIX Derivatives Pricing

2021 ◽  
Author(s):  
Peixuan Yuan
Keyword(s):  
Reduced Form ◽  
Time Varying ◽  
Derivatives Pricing ◽  
Nested Models ◽  
Stochastic Jump ◽  
Out Of Sample ◽  
Jump Intensity ◽  
Form Model ◽  
Reduced Form Model ◽  
Vix Derivatives

This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and cojumps in the level and variance of VIX, while allowing the mean of VIX variance to be time varying. I fit the model to daily prices of futures and European options from April 2007 through December 2017. The empirical results indicate that the model significantly outperforms all other nested models and improves on benchmark by 21.6% in sample and 31.2% out of sample. The model more accurately portrays the tail behavior of VIX risk-neutral distribution for both short and long maturities, as it better captures the time-varying skew found to be largely independent of the level of the VIX smile. This paper was accepted by Kay Giesecke, finance.

Emerging Market Risk Premiums

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington
Keyword(s):  
Emerging Market ◽  
Market Risk ◽  
Risk Premiums

Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 79-80
Author(s):  
Frank T. Magiera
Keyword(s):  
Exchange Rate ◽  
Equity Returns ◽  
Inflation Risk ◽  
Risk Premiums

Estimating Risk Premiums of Individual Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (4) ◽  
pp. 6-8
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Risk Premiums

Collateral and credit issues in derivatives pricing

2014 ◽  
Vol 10 (3) ◽  
pp. 3-28 ◽  
Author(s):  
John Hull ◽  
Alan White
Keyword(s):  
Derivatives Pricing

Time-Varying Risk and Risk Premiums in Frontier Markets

2011 ◽  
Author(s):  
Galin Todorov ◽  
Prasad V. Bidarkota
Keyword(s):  
Time Varying ◽  
Risk Premiums
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