Volatility Links

Definitions

Standard Deviation Defined:

Black-Scholes Options Pricing Model:

Black Options Pricing Model:

Courses

Volatility: Trading and Managing Risk. London Financial Studies. (Disclaimer: This link is for information only. VolX is not affiliated with LondonFS and specifically does not endorse this course.):

Research Papers

Lasky, P. (2001) By Garch, volatility trading works. Futures Magazine, July:

The Volatility Laboratory (VLab) (GARCH-based volatility forecasts and correlations):

An Investor’s Perspective on Volatility as an Asset Class: Evidence from the European Stock Market, Reinhold Hafner, Martin Wallmeier, May 2005:

Advisor Perspectives, Volatility as an Asset Class, Robert Huebscher, February 3 2009:

The Rise and Rise of Volatility Trading, Sponsored Advertorial, FOW, September 2008:

Options Volatility Trading: Strategies for Profiting from Market Swings (Hardcover), Adam Warner, through Amazon.com:

Volatility As An Asset Class (Hardcover), Israel Nelken, through Amazon.com:

Several papers from Nikunj Kapadia and the Isenberg School of Management:

Volatility Arbitrage Indices – A Primer, Keith Loggie:

The Volatility of Realized Volatility, authors: Fulvio Corsi, Uta Kretschmer, Stefan Mittnik, and Christian Pigorsch:

Peter Carr’s Research:

Volatility and its Impact on Your Portfolio, Direxion Funds:

The Cost of Volatility To Your Portfolio, author: Geoff Considine:

The VIX, CIV, and MFIV, Measuring up the accuracy of option-based predictors of volatility, Based on the Research of Torben Andersen And Oleg Bondarenko:

On the informational content of implied volatility, Juan Carlos Sosa, Boston College:

Risk And Volatility: Econometric Models And Financial Practice Nobel Lecture, December 8, 2003, Robert F. Engle III:

Roger Lee, Assistant Professor, Department of Mathematics, University of Chicago:

Liuren Wu's Publications:

The ABCs Of Option Volatility by John Summa,CTA, PhD, Founder of OptionsNerd.com and HedgeMyOptions.com:

Long-Memory versus Option-Implied Volatility Predictions, Kai Li:

The Model-Free Implied Volatility and Its Information Content, George J. Jiang, Eller College of Management, University of Arizona, and Yisong S. Tian, Schulich School of Business, York University:

The predictive power of implied volatility: Evidence from 35 futures markets, Andrew Szakmary a,1, Evren Ors b,2, Jin Kyoung Kim c,3, Wallace N. Davidson III:

Forecasting Volatility of S&P 500 Index, Pawan Madhogarhia, Assistant Professor of Finance, The Pennsylvania State University:

Andersen, T., Bollerslev, T. (1998) Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39, 885–906:

Gallo, G. (2001) Modelling the impact of overnight surprises on intra-daily volatility. Australian Economic Papers, 40, 567–580:

Fuertes, A., Izzeldin, M., Kalotychou, E. (2009) On forecasting daily stock volatility: The role of intraday information and market conditions. International Journal of Forecasting, 25, 259–281:

Larsen, M. (2004) A hands-on approach to volatility trading. Futures Magazine, September:

Christoffersen, P.F., Diebold, F.X. (2006) Financial asset returns, direction-of-change forecasting, and volatility dynamics. Management Science, 52, 1273–1287:

Volatility Exposure for Strategic Asset Allocation, Marie Brière / Alexandre Burgues / Ombretta Signori:

Volatility as an Asset Class, Michael Schmanske:

Volatility: Investment Characteristic or an Investable Asset Class? Eric Brandhorst, CFADirector of Research, Global Structured Products Group:

Barclays Opens a Brand New Asset Class. Individuals can finally invest in volatility, but what is it? Bradley Kay:

Rattray, S., Balasubramanian, V. (2003) The New VIX as a Market Signal: It Still Works. Research Report, Equity Derivatives Strategy, Goldman Sachs:

The VIX as a Fix: Equity Volatility as a Lifelong Investment Enhancer, Michael Sloyer and Ryan Tolkin:

News

Why VIX doesn’t work, by Howard Simons:

A Glitch in the VIX:

Volatility Play? Not Exactly for the New Barclays VIX ETNs by Stephen Webb on January 27, 2009:

VIX ETN: Ineffective as Both Short-Term, Long-Term Play: the author: Bill Luby:

CME Volatility Quoted Options:

Understanding VIX futures and options:

Lack of liquidity means a comeback for vol swaps, author: Matt Cameron:

Web Sites

The Volatility Institute:

Center for International Securities and Derivatives Markets (CISDM):

Center for Financial Studies:

Hoadley Trading & Investment Tools: AND