Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

Much research has been directed towards forecasting the volatility 1 of various
macroeconomic variables such as stock indices, interest rates and exchange rates …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

A model is developed for pricing volatility derivatives, such as variance swaps and volatility
swaps under a continuous‐time Markov‐modulated version of the stochastic volatility (SV) …

This study derives closed‐form solutions to the fair value of VIX (volatility index) futures
under alternate stochastic variance models with simultaneous jumps both in the asset price …

The purpose of this paper is to examine the effect of illiquidity on the value of currency
options. We use a unique dataset that allows us to explore this issue in special …

We explore the ability of alternative popular continuous-time diffusion and jump-diffusion
processes to capture the dynamics of implied volatility indices over time. The performance of …

There is a growing literature on implied volatility indices in developed markets. However, no
similar research has been conducted in the context of emerging markets. In this paper, an …

Volatility indices are becoming increasingly popular as a measure of market uncertainty and
as a new asset class for developing derivative instruments. Although jumps are widely …

We find that 10 emerging stock markets have high risk of contagion on the regional level but
lower spillover with respect to the global markets, implying a potential for diversification …