Marco Marchioro

Learning Quantitative Finance with QuantLib

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 2301 Views

Post a Comment

Oops!

Oops, you forgot something.

Oops!

The words you entered did not match the given text. Please try again.

Already a member? Sign In

0 Comments

Oops! This site has expired.

If you are the site owner, please renew your premium subscription or contact support.