This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

Selling financial investments with insurance or lottery characteristics should earn positive
long-run premiums if investors like positive skewness enough to overpay for these …

We proxy uncertainty in the stock oil and gold markets with the variance risk premia,
extracted from futures and option contracts. We observe that an independent increase in the …

We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of
options contracts covering a variety of different markets. If uncertainty shocks are viewed as …

We analyze empirically what drives market expectations of crude oil price volatility. Between
2000 and 2014, we investigate the links between the term structure of oil option‐implied …

To assess the economic determinants of oil futures volatility, we firstly develop and estimate
a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle …

This paper investigates how the conditional quantiles of future returns and volatility of
financial assets vary with various measures of ex post variation in asset prices as well as …

Given recent interest in the activities of sovereign wealth funds (SWF), this article reviews the
financial economics of portfolio choice for oil based investors. The author views the optimal …

This paper explores the variance risk premium in option returns across twenty different
futures, including equities, bonds, currencies, and commodities (energy, metals, and grains) …

We analyze the variance risk of commodity markets. We construct synthetic variance swaps
and find significantly negative realized variance swap payoffs in most markets. We find …