_numerical-computation-of-vix-futures-risk-components.jpg "Numerical Computation of VIX-Futures Risk Components from vix financial term Video Screenshot Preview")
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⏲ Duration: 9 min 40 sec
✓ Published: 10-Jun-2014
✓ Published: 10-Jun-2014
Description:
We describe a method to perform risk simulations of VIX futures,naccording to the historical-simulation model. We assume anstochastic-volatility mean- reverting constant-elasticity-of-variancenprocess to model the VIX dynamics.Following non-arbitrage argumentsnthe market expectation of VIX futures price results in a function ofnthree financial variables: the spot VIX index, the long-term expectednVIX value, and a time-scale parameter.Using the latest historicalndata we compute risk measures
We describe a method to perform risk simulations of VIX futures,naccording to the historical-simulation model. We assume anstochastic-volatility mean- reverting constant-elasticity-of-variancenprocess to model the VIX dynamics.Following non-arbitrage argumentsnthe market expectation of VIX futures price results in a function ofnthree financial variables: the spot VIX index, the long-term expectednVIX value, and a time-scale parameter.Using the latest historicalndata we compute risk measures
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