Aug 10, 2012

VIX Modeling for Quants:Pricing the ‘Fear Index’

It is no wonder that the VIX has gained substantial attention from both Wall Street and Main Street during the 2008 financial crisis and beyond, as market volatility soared to unprecedented levels. While VIX futures and options trading volumes have grown dramatically since their launch, many practitioners are still experiencing certain challenges in pricing these derivatives and in modeling the VIX.

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Dr. Dominic Brecher, Director of Quantitative Research at Numerix, recently provided a webinar overview of VIX derivatives and VIX modeling considerations for quantitative practitioners to address some of these recurring challenges. During the webinar, Dr. Brecher gave a primer on VIX derivatives and introduced VIX modeling, including: “model independent” Monte Carlo valuation, analytic methods and calibration.

To learn more, view the webinar replay about VIX modeling.

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Improving Transparency in the US Retail Structured Products Market

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