Book of Donmon Teith

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return vari

This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be p

The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and show

This paper examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility