Search results

  1. Z

    is there a method to forecast vix jumps?

    I am working on a project on VIX and VXX. It seems VXX is going down most of the time, except some spikes when the current VIX has a spike. I looked at some literature and know the spikes (big jumps) of VIX follows a poisson process. Is there a method (time series or other) that I can use to...
  2. Z

    operation research vs mfe

    Hi. I am a math and physics senior. I am wondering if I can apply for operation research phd prgrams as backup for mfe application since mfe admission is getting more and more competitive. And phd program usually offers financial aid. And what about applied math programs? Which program does not...