英文标题：
《Variance Dynamics - An empirical journey》
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作者：
Florent S\\\'egonne
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最新提交年份：
2015
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英文摘要：
  We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous variance curves implied by the market and study their daily variations jointly with spot returns. We analyze the characteristics of their individual and joint densities, quantify the non-linear relationship between spot and volatility, and discuss the modeling implications on the implied leverage and the volatility clustering effects. We show that non-linearities have little impact on the dynamics of at-the-money volatilities, but can have a significant effect on the pricing and hedging of volatility derivatives.
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中文摘要：
我们从实证角度研究了现货和隐含波动率的联合动态。我们关注股票市场，选择SPX指数作为我们的基础。我们仅使用可观测量，提取市场隐含的瞬时方差曲线，并结合即期收益研究其日变化。我们分析了它们各自和联合密度的特征，量化了现货和波动率之间的非线性关系，并讨论了隐含杠杆和波动率聚集效应的建模含义。我们发现，非线性对货币波动的动态影响很小，但对波动性衍生品的定价和对冲有显著影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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