5 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.MF2015★ 1 cited
A Market Model for VIX Futures
Alexander Badran, Beniamin Goldys
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by…
q-fin.PR2012★ 5 cited
Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Jan Baldeaux, Alexander Badran
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common…