We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We decompose the VIX futures term structure into systematic components driving the VIX
and idiosyncratic components reflecting demand by various types of futures end‐users. We …

We study the problem of dynamically trading multiple futures contracts on different
underlying assets subject to portfolio constraints. The spreads between futures and spot …

The understanding of volatility and its dynamics plays a crucial role in financial markets and
theory. In the field of finance and investments where the general random variable being …

In this thesis, we discuss systematic methods to futures trading and analyze the
mathematical problems that arise from trading futures. Firstly, we analyze the dynamic …

Анотація Актуальність теми. На сучасному етапі світова та вітчизняна фінансові
системи характеризуються суттєвим дисбалансом економічних процесів, який …