Mean-Reverting Logarithmic Modeling of VIX.

      Аннотация: In this book, four mean-reverting logarithmic models of VIX index are proposed and compared from a practitioner’s perspective. What separates the research in this book from the literature is that both static pricing formulas and dynamics of the VIX derivatives are derived. For practical applications of the models, calibration strategies and formulas are also proposed, where the VIX future term structure is fitted by construction and the VIX skew is calibrated with the model parameters.

Ключевые слова: derivatives, VIX, logarithmic models