Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

Motivated by the implications from a stylized self-contained general equilibrium model
incorporating the effects of time-varying economic uncertainty, we show that the difference …

Praise for The Volatility Surface" I'm thrilled by the appearance of Jim Gatheral's new book
The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate …

We propose a direct and robust method for quantifying the variance risk premium on
financial assets. We show that the risk-neutral expected value of return variance, also known …

ROBERT E. WHALEY inancial news services have begun reporting the VIX with increasing
regularity. This “new” barometer of investor fear—the Chicago Board Options Exchange …

This paper analyses multivariate high frequency financial data using realized covariation.
We provide a new asymptotic distribution theory for standard methods such as regression …

Uncertainty plays a key role in economics, finance, and decision sciences. Financial
markets, in particular derivative markets, provide fertile ground for understanding how …

This first Australasian edition of Hull's bestselling Fundamentals of Futures and Options
Markets was adapted for the Australian market by a local team of respected academics …

This paper looks at some recent work on estimating quadratic variation using realized
variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by …