VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Dondoni, Alberto; Montagna, Dennis Marco; Maggi, Mario

doi:10.2139/ssrn.3104407

Cited by 2 publications

(2 citation statements)

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“…an Index) was first developed by Brenner and Galai (1986). The index arose from the necessity of having an efficient tool for hedging against changes in volatility (Dondoni et al, 2018).…”

Section: Vix Index Of Implied Volatilitymentioning

confidence: 99%

“…Building on this concept, the Chicago Board Options Exchange (CBOE) launched the CBOE Market Volatility Index or VIX in 1993, which represented the volatility of the Standard & Poors (S&P) 100 equity market. In 2003, the VIX calculations were revised and the underlying index was changed to the S&P 500 Index (Dondoni et al, 2018).…”

Section: Vix Index Of Implied Volatilitymentioning

confidence: 99%

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Identifying the Drivers of Trade Finance in South Africa

Boshoff

Vuuren

Viviers

2020

Studies in Economics and Econometrics

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This study has been assembled and completed under the book format. The work in this study was carried out as part of a master's degree at the North-West University, and forms part of a Master of Commerce in Economics. The theoretical work undertaken in this study was done in collaboration with the School of Economic Sciences, under the supervision of Prof Gary van Vuuren and the co-supervision of Prof Wilma Viviers.These studies represent the original work of the author and have not been submitted in any form to another university. Where use was made of the work of others, this has been duly acknowledged in the text. All data used during the course of this study were obtained from the IRESS database and any additional data obtained from third party sources were duly acknowledged within the body of the study.The results obtained from this dissertation and the contributions they make to the existing body of knowledge are summarised in Chapter 6, which also assesses future research opportunities.

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“…an Index) was first developed by Brenner and Galai (1986). The index arose from the necessity of having an efficient tool for hedging against changes in volatility (Dondoni et al, 2018).…”

Section: Vix Index Of Implied Volatilitymentioning

confidence: 99%

Section: Vix Index Of Implied Volatilitymentioning

confidence: 99%