The Rise and Fall of S&P500 Variance Futures

About this item

Title

The Rise and Fall of S&P500 Variance Futures

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence also an important barometer of investor sentiment and market volatility. Investors interpret the VIX cash index as a “fear” i...

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Format

Research paper

Research format

Working or discussion paper

Date created

2011

Creator

Chang, C-L. / Jimenez-Martin, J.A. / McAleer, M. / Perez Amaral, T.

URL

http://hdl.handle.net/10092/6486

Related subjects

risk management / financial derivatives / futures / options / swaps / 3-month variance futures / 12-month variance futures / risk exposure / volatility / Economics / Applied economics / Financial economics

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More Information

You can learn more about the rights status of this item at: https://hdl.handle.net/10092/17651

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