Tagged Questions
6
votes
1answer
187 views
Why does the price of a derivative not depend on the derivative with which you hedge volatility risk?
I'm trying to derive the valuation equation under a general stochastic volatility model.
What one can read in the literature is the following reasoning:
One considers a replicating self-financing ...
1
vote
0answers
339 views
Using volatility cycles to switch between trend following & range bound trading? [closed]
"...a low volatility environment is usually a good environment for trend following strategies; see Jez Liberty’s state of trend following report here..."
...
4
votes
2answers
456 views
SKEW and VIX relations?
My question is about the CBOE published index VIX and SKEW.
To start with, I consider working on the variance dynamics. I calibrate the market data (such as VIX and VIX futures) into the Heston ...
9
votes
1answer
384 views
Can VIX be interpreted as a proxy for instantaneous volatility?
BJO06 (Table 2) estimate the following Cox-Ingersoll-Ross model for market variance, $\sigma^2_t$:
$\mathrm{d}\sigma^2_t = (\alpha_0 + \alpha_1\sigma^2_t)\mathrm{d}t + ...
1
vote
1answer
587 views
How is mean reversion implied by different valuations of Bermudan swaptions?
Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
