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Volatility risk
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<h2 id="see-also">See also</h2> <ul><li><a href="/facts/Financial_risk_management/sXAcYTh9">Financial risk management</a></li> <li><a href="/facts/Implied_volatility/M5YHByy3">Implied volatility</a> <ul><li><a href="/facts/Volatility_smile/JSpdUfJg">Volatility smile</a></li> <li><a href="/facts/IVX/IlD8W8gt">IVX</a></li></ul></li> <li><a href="/facts/Market_risk/anS5bmz9">Market risk</a></li> <li><a href="/facts/Model_risk/1oEP0PLP">Model risk § Uncertainty on volatility</a></li> <li><a href="/facts/Value_at_risk/u9AIbGqH">Value at risk</a></li> <li><a href="/facts/Volatility_beta/0u6NPHLF">Volatility beta</a></li> <li><a href="/facts/Volatility_risk_premium/QIkdlklk">Volatility risk premium</a></li></ul> <h2 id="references">References</h2> <ol> <li id="fn:1"><p>Menachem Brenner, Ernest Y. Ou, Jin E. Zhang (2006). "Hedging volatility risk". Journal of Banking & Finance 30 (2006) 811–821 <a href="/wiki/Menachem_Brenner" target="_blank">/wiki/Menachem_Brenner</a> <a href="#fnref:1" class="footnote-back-ref">↩</a></p></li> <li id="fn:2"><p>Menachem Brenner, Ernest Y. Ou, Jin E. Zhang (2006). "Hedging volatility risk". Journal of Banking & Finance 30 (2006) 811–821 <a href="/wiki/Menachem_Brenner" target="_blank">/wiki/Menachem_Brenner</a> <a href="#fnref:2" class="footnote-back-ref">↩</a></p></li> <li id="fn:3"><p>Avellaneda, M.; Levy, A.; Parás, A. (1995). "Pricing and hedging derivative securities in markets with uncertain volatilities". Applied Mathematical Finance. 2 (2): 73–88. doi:10.1080/13504869500000005. <a href="/wiki/Doi_(identifier)" target="_blank">/wiki/Doi_(identifier)</a> <a href="#fnref:3" class="footnote-back-ref">↩</a></p></li> <li id="fn:4"><p>Neftci, Salih N. (2004). Principles of Financial Engineering. Academic Press Advanced Finance Series. San Diego, CA and London: Academic Press. pp. 430–431. ISBN 978-0-12-515394-2. <a href="978-0-12-515394-2" target="_blank">978-0-12-515394-2</a> <a href="#fnref:4" class="footnote-back-ref">↩</a></p></li> <li id="fn:5"><p>Xekalaki, Evdokia; Degiannakis, Stavros (2010). ARCH Models for Financial Applications. Chichester, UK: John Wiley & Sons. pp. 341–343. ISBN 978-0-470-68802-1. <a href="978-0-470-68802-1" target="_blank">978-0-470-68802-1</a> <a href="#fnref:5" class="footnote-back-ref">↩</a></p></li> <li id="fn:6"><p>Andrew Lesniewski (2015). Managing interest rate volatility risk <a href="https://mfe.baruch.cuny.edu/wp-content/uploads/2015/06/VolWork6-Andrew.pdf" target="_blank">https://mfe.baruch.cuny.edu/wp-content/uploads/2015/06/VolWork6-Andrew.pdf</a> <a href="#fnref:6" class="footnote-back-ref">↩</a></p></li> <li id="fn:7"><p>Ploeg, Antoine Petrus Cornelius van der (2006). Stochastic Volatility and the Pricing of Financial Derivatives. Tinbergen Institute Research Series. Amsterdam, Netherlands: Rozenberg Publishers. pp. 25–26. ISBN 978-90-5170-577-5. <a href="978-90-5170-577-5" target="_blank">978-90-5170-577-5</a> <a href="#fnref:7" class="footnote-back-ref">↩</a></p></li> <li id="fn:8"><p>Huang, Declan Chih-Yen (2002) [1998]. "The Information Content of the FTSE100 Index Option Implied Volatility and Its Structural Changes With Links to Loss Aversion". In Knight, John L.; Satchell, Stephen (eds.). Forecasting Volatility in the Financial Markets. Butterworth - Heinemann Finance. Oxford and Woburn, MA: Butterworth-Heinemann. pp. 375–376. ISBN 978-0-7506-5515-6. <a href="978-0-7506-5515-6" target="_blank">978-0-7506-5515-6</a> <a href="#fnref:8" class="footnote-back-ref">↩</a></p></li> <li id="fn:9"><p>See, e.g., Vega Neutral Option Strategies <a href="https://www.macroption.com/vega-neutral-option-strategies/" target="_blank">https://www.macroption.com/vega-neutral-option-strategies/</a> <a href="#fnref:9" class="footnote-back-ref">↩</a></p></li> </ol>