Marco Marchioro

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Risk Simulations of VIX Futures Add Video

We propose a simplified model for computing the risk simulations of VIX futures. The risk simulations are based on three main risk factors: the spot VIX quote, the long-term VIX expected value, and the expected transition time. We show, using some numerical examples, how the risk of VIX futures is typically lower than the index itself and depends on the maturity of the futures contract.

Posted by Marco Marchioro on October 2, 2013 at 11:43 PM 2488 Views

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