Alexander Kraftschik

University of Muenster - Finance Center Muenster

SCHOLARLY PAPERS

4

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1,309

SSRN CITATIONS
Rank 42,480

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Top 42,480

in Total Papers Citations

0

CROSSREF CITATIONS

12

Scholarly Papers (4)

1.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 670 (38,135)
Citation 7

Abstract:

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Consistent pricing of VIX derivatives, Log-VIX model, volatility derivatives, VIX

2.

The Volatility-of-Volatility Term Structure

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 80 Posted: 08 Jun 2017 Last Revised: 09 Jan 2018
Nicole Branger, Hendrik Hülsbusch and Alexander Kraftschik
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 514 (53,898)
Citation 5

Abstract:

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Financial Crises, Option Returns, Term Structure, Volatility, Volatility-of-Volatility, VVIX

3.

Time-Varying Uncertainty and Jump Intensities: Why Should Variance Jumps Be Different?

Number of pages: 59 Posted: 09 May 2017
Alexander Kraftschik
University of Muenster - Finance Center Muenster
Downloads 63 (350,480)
Citation 1

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Variance Jumps, Volatility-of-Volatility, VIX

4.

The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models

Number of pages: 41 Posted: 17 Nov 2017
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 62 (353,311)

Abstract:

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Jump-diffusion model, volatility derivatives, VIX options, non-affine diffusion