Chris Bardgett

University of Zurich - Department of Banking and Finance

PhD Student in Finance

Schönberggasse 1

Zürich, 8001

Switzerland

Ecole Polytechnique Fédérale de Lausanne

PhD Student in Finance

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

http://www.swissfinanceinstitute.ch/

  • University of Zurich - Department of Banking and Finance

  • Ecole Polytechnique Fédérale de Lausanne

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Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

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Citation 31

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 874 (27,379)
Citation 13

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S&P 500 and VIX joint modeling, option pricing, particle

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 02 Feb 2017
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 135 (224,330)
Citation 21

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S&P 500 and VIX joint modeling, volatility dynamics, particle filter, variance risk premium