Work

Trading and Investing in Volatility Products

Year: 2015

Type: article

Abstract: Since the banking crisis the market for volatility exchange‐traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer‐term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up‐to‐date comparison of the market and statistical characteristics of European and US exchange‐traded volatility products.

Source: Financial Markets Institutions and Instruments

DOI: 10.1111/fmii.12032

Authors: Carol Alexander, Julia Kapraun, Dimitris Korovilas

Institutions: University of Sussex, Peking University, Goethe University Frankfurt, ICMA Centre, University of Reading

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1895544729

FWCI: 6.382

Cites: 53

Cited by: 34

Related to: 10