extracting forward variance curve from VIX futures

[stochastix]

Can I just do some spline interpolation on the VIX futures term structure, or piecewise constant interpolation ? then E[V_t]=VIX_Future(t)/100 ?
Forwards and futures are equal if the interest rate is constant over the duration of the contract.

 

[Saltynuts]

WTF? Way over EVERYONE'S head!!!

 

[maxinger]

my goodness!!!
we are traders (who uses + and - only) , not maths professors.

 

[stochastix]

WTF? Way over EVERYONE'S head!!!

just where I like to be
I should email the authors of the papers. I corresponded with some hedge fund guru in france a couple of years ago about critical reflexivity in the markets and learned some valuable insights

 

[Marcelino]

... learned some valuable insights

Obviously not valuable enough since you're still wasting your time here.

 

[stochastix]

Obviously not valuable enough since you're still wasting your time here.

mostly out of boredom, good point tho

 

[maxinger]

mostly out of boredom, good point tho

A good way to pass your time meaningfully.

 

[stochastix]

A good way to pass your time meaningfully.

oh dude, time isnt linear, dont worry about it. found the answer, anyhow

 

[maxinger]

oh dude, time isnt linear, dont worry about it. found the answer, anyhow

I did those complex mathematical things during my University days.

When I worked in an MNC and finally as a day trader,
I found out that those mathematical things were useless.
We just need to know + and -.

Anyway, pse continue with your maths hobby mister.

 

[stochastix]

I did those complex mathematical things during my University days.

When I worked in an MNC and finally as a day trader,
I found out that those mathematical things were useless.
We just need to know + and -.

Anyway, pse continue with your maths hobby mister.

Yeah, you are right, carry on