英文标题：
《Trading VIX Futures under Mean Reversion with Regime Switching》
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作者：
Jiao Li
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最新提交年份：
2016
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英文摘要：
This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading strategies, we analyze the timings and sequences of the investor\'s market participation, which leads to several corresponding coupled system of variational inequalities. The numerical approach is developed to solve these optimal double stopping problems by using projected-successive-over-relaxation (PSOR) method with Crank-Nicolson scheme. We illustrate the optimal boundaries via numerical examples of two-state Markov chain model. In particular, we examine the impacts of transaction costs and regime-switching timings on the VIX futures trading strategies.
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中文摘要：
本文研究了制度转换模型下的最优波动率期货交易问题。我们将VIX视为依赖于在有限个状态之间切换的区域的平均回复动力学。对于交易策略，我们分析了投资者参与市场的时间和顺序，从而得出了几个相应的耦合变分不等式系统。利用Crank-Nicolson格式的投影连续超松弛（PSOR）方法，给出了求解这些最优双停问题的数值方法。我们通过两状态马尔可夫链模型的数值例子说明了最优边界。特别是，我们研究了交易成本和制度转换时间对波动率指数期货交易策略的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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