Trading in derivatives has caused investors, and especially market makers, to be concerned with the volatility of asset returns along with their direction. Uncertain and time-varying volatility imparts risk to an otherwise hedged position, and volatility risk is not easy to manage with ordinary instruments. Volatility swaps are a new class of derivative, for which an asset9s volatility itself is the underlying. This article describes how volatility swaps work, and derives pricing and hedging equations for them. Interestingly, the natural derivative instrument in this family would be based on variance, rather than volatility, since a variance swap can be replicated (pretty well) by a static portfolio of ordinary European calls and puts on the price of the underlying asset. The authors also show how to set up a volatility hedge when the available traded options exhibit a smile or skew pattern.

A Guide to Volatility and Variance Swaps

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors’ risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main findings are as follows. First, we confirm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

/pdf/modeling-and-predicting-the-cboe-market-volatility-index-2kmvree08r.pdf

Modeling and predicting the CBOE market volatility index

The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX volatility index. While the new VIX is conceptually more appealing than its predecessor, the CBOE's implementation of the index is flawed. Using option prices simulated under typical market conditions, we show that the CBOE procedure may underestimate the true volatility by as much as 198 index basis points or overestimate it by as much as 79 index basis points. As each index basis point is worth $10 per VIX futures contract, these errors are economically significant. More importantly, these errors exhibit predictable patterns in relations to volatility levels. We propose a simple solution to fix the problems, based on a smooth interpolation-extrapolation of the implied volatility function. This alternative method is accurate and robust across a wide range of model specifications and market conditions.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID880459_code157150.pdf?abstractid=880459&rulid=255665&mirid=3

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

http://www.fin.ntu.edu.tw/~conference/conference2008/proceedings/proceeding/7/7-1(A114).pdf

Jump and volatility risk premiums implied by VIX

We explore the ability of alternative popular continuous-time diffusion and jump-diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed from major European and American implied volatility indices and the rapidly growing CBOE volatility futures market. We find that the addition of jumps is necessary to capture the evolution of implied volatility indices under both metrics. Mean reversion is of second-order importance though. The results are consistent across the various metrics, markets, and construction methodologies.

An empirical comparison of continuous-time models of implied volatility indices

More than You ever Wanted to Know about Volatility Swaps

School bullying is a wide-spread phenomenon that manifests in various forms. It has both short-term and long-term devastating consequences on physical, mental and social wellbeing. The Middle East and North Africa (MENA) region, including Qatar, has a relatively high prevalence of school bullying. This research aims at identifying the prevalence of bullying, particularly unsafe environments were bullying takes place, and its attributes at schools in Qatar.In a cross-sectional study, 980 students from 10 schools in Qatar completed an anonymous self-completion standardized questionnaire to assess the different aspects of bullying from school students' point of view.The prevalence of bullying victimization and perpetration was found to be 41.0% and 31.7% among school students in Qatar, respectively. Classroom (67.5%) and hallways (64.8%) were the most frequently indicated environments of bullying whereas library was the least indicated one (28.3%). Verbal bullying was the most used type of bullying by students. Overall, students in Qatar believe that bullying is considerably a significant issue at their schools, yet schools are safe place for them to be in. Gender, age, ethnicity, school grade and years living in Qatar showed significant differences among the students.School bullying is a serious, yet a manageable global problem. Our findings re-demonstrated the alarming high prevalence of school bullying in Qatar, highlighted student related and school related factors which have implications for future multidimensional action and research and recommended measures to foster safety at school. 

Prevalence and determinants of school bullying in Qatar: a cross-sectional study

Short term outcomes following poem, heller myotomy and pneumatic dilation in patients with achalasia: a nationwide analysis.

Autism spectrum disorder (ASD) is a developmental disorder characterized by difficulty in communication and interaction with others. Postmortem studies have shown cerebral neuronal loss and neuroimaging studies show neuronal loss in the amygdala, cerebellum and inter-hemispheric regions of the brain. Recent studies have shown altered tactile discrimination and allodynia on the face, mouth, hands and feet and intraepidermal nerve fiber loss in the legs of subjects with ASD. Fifteen children with ASD (age: 12.00 ± 3.55 years) and twenty age-matched healthy controls (age: 12.83 ± 1.91 years) underwent corneal confocal microscopy (CCM) and quantification of corneal nerve fiber morphology. Corneal nerve fibre density (fibers/mm2) (28.61 ± 5.74 vs. 40.42 ± 8.95, p = 0.000), corneal nerve fibre length (mm/mm2) (16.61 ± 3.26 vs. 21.44 ± 4.44, p = 0.001), corneal nerve branch density (branches/mm2) (43.68 ± 22.71 vs. 62.39 ± 21.58, p = 0.018) and corneal nerve fibre tortuosity (0.037 ± 0.023 vs. 0.074 ± 0.017, p = 0.000) were significantly lower and inferior whorl length (mm/mm2) (21.06 ± 6.12 vs. 23.43 ± 3.95, p = 0.255) was comparable in children with ASD compared to controls. CCM identifies central corneal nerve fiber loss in children with ASD. These findings, urge the need for larger longitudinal studies to determine the utility of CCM as an imaging biomarker for neuronal loss in different subtypes of ASD and in relation to disease progression.

https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0288399&type=printable

Corneal confocal microscopy demonstrates sensory nerve loss in children with autism spectrum disorder

Violent child discipline is a widespread phenomenon that can have devastating short- and long-term consequences for an individual's physical, mental and social wellbeing. Parents' beliefs and expressed ideas about child discipline, both violent and non-violent, can differ from their practice. This study identifies which disciplinary methods Qatari mothers believe to be the most successful in changing their child's behaviour and compares them to the ones they report actually using. Using a cross-sectional design, a representative sample of Qatari mothers completed an anonymous standardised questionnaire, the International Society for the Prevention of Child Abuse and Neglect Child Abuse Screening Tool for Parents. The majority (96.9 per cent) of Qatari mothers reported believing in non-violent disciplinary methods (NVDMs) in changing their child's behaviour and those believing only in such methods are more likely to use only them compared to those mothers believing in a mixture of methods (30.9 vs. 6.7 per cent, chi-squared value [𝜒2] = 83.5, P value <0.001). Still, 44.9 and 5.2 per cent of Qatari mothers believing in only NVDMs also used at least one moderate and one severe physical method, respectively. Much public education is needed to increase Qatari mothers' awareness in of the benefits of NVDMs, to foster a belief in their efficacy and to support using them. 

Qatari mothers’ beliefs in child disciplinary methods and their reported use: A cross‐sectional study

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