VIX futures are exchange-traded contracts on a future volatility index level (VIX) derived from a basket of SPX stock index options. The paper posits a stochastic variance model of VIX time evolution, and develops an expression for VIX futures. Free parameters are estimated from market data over...

In this paper, we study the market of the CBOE Samp;P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the Samp;P 500 index, we present a linear relation between the price of fixed time-to-maturity variance...

Volatility risk has played a major role in several financial debacles (for example, Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

Volatility risk has played a major role in several financial debacles (for example,Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

Volatility risk has played a major role in several financial debacles (for example, Barings Bank, Long Term Capital Management). This risk could have been managed using options on volatility which were proposed in the past but were never offered for trading mainly due to the lack of a tradable...

The utilization of healthcare services serves as a barometer for current and future health outcomes. Even in countries with modern healthcare IT infrastructure, however, fragmentation and interoperability issues hinder the (short-term) monitoring of utilization, forcing policymakers to rely on...

Understanding past climate and vegetation changes is essential to assessing the role of climate and human activity in dominating regional vegetation compositions. Here we show a wetting trend from mid- to late-Holocene over subtropical East Asia based on peat cellulose δ 18 O and a compilation...

Sediment particle size is an important indicator to explain spatial variability of metal concentration during transport of sediments and distribution of metal pollution. However, the partitioning pattern of metals sediment particles and its underlying mechanisms have not been revealed. Here, we...