This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

We investigate the relationship between crude oil prices and stock markets. Unlike prior
studies, we use implied volatility indices and evaluate the change in the relationship …

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX
index returns and option prices and analyze the contribution of VIX options to the model's in …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

We conduct an extensive empirical analysis of VIX derivative valuation models before,
during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and …

We consider a stochastic volatility model where the dynamics of the volatility are described
by linear functions of the (time extended) signature of a primary underlying process, which is …

This study examines the price‐discovery function and information efficiency of a fast growing
volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear …

In this study we present a closed‐form, exact solution for the pricing of VIX futures in a
stochastic volatility model with simultaneous jumps in both the asset price and volatility …

We develop analytical methodology for pricing and hedging options on the realized variance
under the Heston stochastic variance model (1993) augmented with jumps in asset returns …

This paper uses information on VIX to improve the empirical performance of GARCH models
for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models' …