Since the banking crisis the market for volatility exchange‐traded products has developed
rapidly as it opens to clients beyond the large institutional investor pool. Speculation is …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

In this paper, we study the VXX Exchange Traded Note (ETN), that has been actively traded
in recent years, but has lost 99.84% of its value. Using Zhang's formula for VIX futures prices …

This article analyzes the different forms and features of equity volatility exposure and
reviews the merits of incorporating equity volatility exposure in portfolio management. The …

We develop a model for the VXX, the most actively traded VIX futures exchange‐traded note,
using Duffie, Pan, and Singleton's affine jump diffusion framework, where the volatility …

This paper features an analysis of the relationship between the S&P 500 Index and the VIX
using daily data obtained from the CBOE website and SIRCA (The Securities Industry …

We investigate the potential role of Exchange Traded Products (Notes) as vehicles to trade
volatility (here proxied by the VIX index) as an asset class in a fully optimizing asset …

In this article, the authors suggest a different approach to hedging tail risk in certain
segments of the fixed-income market. VIX® futures are based on the implied volatility of …

Venture capitalists who invest in the first round of start-up companies eventually have to
decide which companies they will continue to fund. A typical investor in these early stages …

Volatility has emerged as an important and distinct asset class over the past decade. The
popularity of volatility stems from its unique properties--namely, its negative correlation with …