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Volatilities

In: The Art of Quantitative Finance Vol.2

Author

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  • Gerhard Larcher

    (Johannes Kepler University of Linz)

Abstract

Volatility of the underlying is the essential parameter when we have to price derivatives on this underlying. This chapter is dedicated to a detailed study of various concepts of volatility (historical volatility, implied volatility?) and its modelling. Especially we will study the volatilities of the S&P500 index and the volatility index VIX of the S&P500. We also study the dependence between the S&P500 and the VIX and try to model this dependence. Finally, we will deal with VIX options and VIX futures, and we analyse trading strategies based on combinations of SPX and VIX derivatives.

Suggested Citation

  • Gerhard Larcher, 2023. "Volatilities," Springer Texts in Business and Economics, in: The Art of Quantitative Finance Vol.2, chapter 1, pages 1-117, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-23870-3_1
    DOI: 10.1007/978-3-031-23870-3_1
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