Analysis of VIX Options & Leveraged ETF Options by Dr. Ronnie Sircar

Event Date: 

Monday, January 28, 2013 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Dr. Ronnie Sircar (Princeton University)

Title: Analysis of VIX Options & Leveraged ETF Options

Abstract: Financial Crisis notwithstanding, new products continue to be developed in financial markets to try and capture risks such as those from changing volatility. In the spirit of analyzing these and quantifying their risks, we study them through stochastic, asymptotic and empirical analysis of the data. A main focus is to test the relations between the new products and existing more liquid ones such as S&P 500 options themselves, and un-leveraged ETFs. Models used for the analysis include multiscale stochastic volatility, and Heston stochastic volatility with regime shifts.

Based on joint works with Tim Leung (Columbia) and Andrew Papanicolaou (Princeton).