Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Beatrice Acciaio

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

SIAM Journal on Financial Mathematics

Applied Mathematics

Numerical Analysis

English

Related publications

Asymmetric Effects of Volatility Risk on Stock Returns: Evidence From VIX and VIX Futures

Journal of Futures Markets

English

Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation

SSRN Electronic Journal

English

Futures Trading Activity and Commodity Cash Price Volatility

Journal of Business Finance and Accounting

English

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling

English

Pricing Commodity Options When the Underlying Futures Price Exhibits Time-Varying Volatility

American Journal of Agricultural Economics

Biological Sciences

English

The VIX, the Variance Premium and Stock Market Volatility

English

The VIX, the Variance Premium and Stock Market Volatility

SSRN Electronic Journal

English

Seasonality and Asymmetric Conditional Volatility: An Analysis of Indian Vix

Volume 9 Issue 2 (2018)

English

The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives

Finance and Economics Discussion Series

English