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Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by(More)
In this paper we research whether reversion trading strategies can be profitable in volatility markets over time. We examine these strategies on VIX time series and short term futures, which trade based on the VIX index. We compare the performance of the technical strategies with a benchmark strategy of buy and hold. We find out that technical strategies(More)
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