Bibliography of Articles on VIX, and Volatility and Variance Swaps

(with some excerpts)

Antognelli, Ferreira, McArdle, and Traub. "Fear and Greed in Global Asset Allocation." The Journal of Investing. (Spring 2000), pp. 27—32. VIX "is a good indicator of the level of fear or greed in U.S. and global capital markets. When investors are fearful, the VIX level is significantly higher than normal. Market participants require additional compensation in the form of above-average excess returns for riskier assets. ? Using implied volatility as an asset allocation factor would have added significant value over the last thirteen years."

Arvedlund, Erin. "Calm Before the Storm? Low Volatility Often Precedes Market Downturn." Barron's Jan. 28, 2002.

Bakshi, Gurdip S. and Madan, Dilip, "Spanning and Derivative-Security Valuation", Journal of Financial Economics 55 (2) 2000, 205—238.

Black, Fischer and Scholes, Myron, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, (1973) 81:637—654.

Black, Keith H. "How the VIX Ate My Kurtosis." Presentation at the January 27, 2005 Meeting of the Chicago QWAFAFEW Group www.qwafafew.org/?q=chicago-20050127-black

Black, Keith H. "Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis." The Journal of Trading. (Spring 2006).

Breeden, D. and R Litzenberger, 1978, "Prices of State Contingent Claims Implicit in Option Prices:, Journal of Business, 51, 621—651.

Brenner, M., and D. Galai, 1989, "New Financial Instruments for Hedging Changes in Volatility", Financial Analyst's Journal, July—August 1989, 61—65.

Brenner, M., and D. Galai, 1993, "Hedging Volatility in Foreign Currencies", The Journal of Derivatives , Fall 1993, 53—9.

Brenner, M., and D. Galai, 1996, "Options on Volatility", Chapter 13 of Option Embedded Bonds , I. Nelken, ed. 273—286.

Brenner, M., E. Ou, and J. Zhang, 2001, "Hedging Volatility Risk", NYU working paper.

Brockhaus, O., and D. Long, 1999, "Volatility Swaps Made Simple", Risk, 1, 92—95.

Carr, P. and D. Madan, 1998, "Towards a Theory of Volatility Trading", Volatility, Risk Publications, R. Jarrow, e., 417—427

Carr, P. and K. Lewis, 2002, "Corridor Variance Contracts", NYU working paper.

Ceron, Gaston F. "Options Volatility Rises, With VIX up 8.6%; Traders Focus on IBM Ahead of Earnings News" Wall Street Journal (Jan. 22, 1999) pC13.

Chriss, N., and W. Morokoff, 1999, "Market Risk for Volatility and Variance Swaps", Risk, July.

Connors, Larry. "A Volatile Idea." Futures (Jul 1999): p. 36—37. "Many indicators such as the advance/decline line, put/call ratios and the Trin (the advance/decline ratio divided by advancing/declining volume ratio), are used by traders to measure market sentiment. However, the best one available to capture the pulse of the market is the VIX ? Extreme VIX readings and reversals often signal quick reversals in the stock market, making it an effective tool for short-term S&P 500 stock index futures strategies."

Connors, Larry. "Timing Your S&P Trades with the VIX." Futures (Jun 2002): pp. 46—47.

Copeland, Maggie. "Market Timing: Style and Size Rotation Using the VIX." Financial Analysts Journal, (Mar/Apr 1999); pp. 73—82. "Changes in the Market Volatility Index (VIX) of the Chicago Board Options Exchange are statistically significant leading indicators of daily market returns. ? The implication is that market timing may be feasible–at least for portfolio yield enhancement."

Credit Suisse. "Can the VIX Signal Market Direction?" (Dec. 20, 2006).

Daigler, Robert T., and Laura Rossi. "A Portfolio of Stocks and Volatility." The Journal of Investing. (Summer 2006).

Daouk, H. and J. Guo, 2002,"Switching Asymmetric GARCH and Options on a Volatility Index", Cornell University working paper.

Dash, Srikant, and Matthew T. Moran, "VIX as a Companion for Hedge Fund Portfolios." The Journal of Alternative Investments. (Winter 2005).

Demeterfi, K., E. Derman, M. Kamal, J. Zhou, 1999, Risk, "A Guide to Variance Swaps", 4, 9—32.

Demeterfi,K., E.Derman, M..Kamal, J.Zhou, 1999, "A Guide to Volatility and Variance Swaps", The Journal of Derivatives, 6,4,9—32.

Demeterfi, K., E.Derman, M. Kamal J. Zhou, 1999, "More than You Ever Wanted to Know about Volatility Swaps," March 1999, Goldman Sachs Quantitative Strategies Research Notes.

Derman, E., M. Kama, I. Kani, and J.Zou, 1996, "Valuing Contracts with Payoffs Based on Realized Volatility," Global Derivatives Quarterly Review, Equity Derivatives Research, Goldman, Sachs & Co.

Detemple J. and C. Osakwe, 2000, "The Valuation of Volatility Options", European Finance Review.

Dupire, Bruno. "Arbitrage Pricing with Stochastic Volatility," Banque Paribas Swaps and Options Research Team Monograph, May 1993.

Fleming, J., B. Ostdiek, and R. Whaley, 1993, "Predicting Stock Market Volatility: A New Measure", Duke University working paper.

Galai, D., 1979, "A Proposal for Indexes for Traded Call Options", Journal of Finance, XXXIV, 5, 1157—72.

Gastineau, G., 1977, "An Index of Listed Option Premiums", Financial Analyst's Journal , May-June 1977.

Grunbichler A., and F. Longstaff, 1993, "Valuing Options on Volatility", UCLA working paper.

Heston S., and S. Nandi, 2000, "Derivatives on Volatility: Some Simple Solutions Based on Observables'', Federal Reserve Bank of Atlanta Working paper.

Hill, Joanne and Sandy Rattray. "Volatility as a Tradable Asset: Using the VIX(r) as a Market Signal, Diversifier and for Return Enhancement." Presentation at the March 25, 2004 Meeting of the Chicago QWAFAFEW Group. www.qwafafew.org/chicago/handouts/hillmar2004.pdf

Howison, S., A. Rafailidis, and H. Rasmussen, 2002, "A Note on the Pricing and Hedging of Volatility Derivatives", Oxford University working paper.

Javaheri A., P. Wilmott, and E. Haug, 2002, "GARCH and Volatility Swaps", working paper, www.wilmott.com

Kuenzi, David E. October 2005, "Variance Swaps and Non-Constant Vega." Risk, pp. 79—84.

McEwan, Ronald. "Getting your S&P Fix with the VIX." Futures (Jun 2004): pp. 46—48.

McMillan, Lawrence. "Modern Portfolio Protection" Barron's. (July 9, 2007).

Moran, Matthew T., "Review of the VIX Index and VIX Futures.," Journal of Indexes, October/November 2004. pp. 16 — 19 www.journalofindexes.com

Moran, Matthew T. and Srikant Dash. "VIX Futures and Options: Pricing and Using Volatility Products to Manage Downside Risk and Improve Efficiency in Equity Portfolios." The Journal of Trading. (Summer 2007).

Nelken, Izzy. "From Log Contracts to the CBOE's New VIX Index–How a Completely Theoretical Idea Turned Into a Very Practical Tool." Presentation at the March 25, 2004 Meeting of the Chicago QWAFAFEW Group. www.qwafafew.org/chicago/handouts/nelkenmar2004.pdf

Neuberger, A. 1990, "Volatility Trading", London Business School working paper.

Neuberger, A. Winter 1994, "The Log Contract", The Journal of Portfolio Management, Winter 1994.

Psychoyios, D., and Skiadopoulos, G. (2006): "Volatility Options: Hedging Effectiveness, Pricing, and Model Error." Journal of Futures Markets, 26:1,pp. 1—31.

Skiadopoulos, G. (2004): "The Greek Implied Volatility Index: Construction and Properties." Applied Financial Economics, 14:16, pp. 1187—1196.

Sulima, Cheryl. "Volatility and Variance Swaps" (Adobe .pdf) Capital Market News, Federal Reserve Bank of Chicago. (March 2001)

Tan, Kopin. "The ABCs of VIX." Barron's (Mar 15, 2004): p. MW16.

Tan, Kopin. "The Future of Fear–CBOE Plans Trading on its Volatility Index." Barron's. (Sept. 8, 2003).

Tan, Kopin. "Volatility Index Continues Climb, Closes at Highest Level in 14 Years" Wall Street Journal, (Jul 24, 2002); pg. C.11.

Whaley, Robert E.,1993, "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1 (Fall 1993), pp. 71—84.

Whaley, Robert E., 2000, "The Investor Fear Gauge," Journal of Portfolio Management 26, pp. 12—17.

Windcliff, H., P.A. Forsyth and K.R. Vetzal, 2003, "Pricing Methods and Hedging Strategies for Volatility Derivatives," University of Waterloo working paper.