Bibliographie

Ouvrages et articles :

• Andrew Christie (1982), The Stochastic Behavior of Common Stock Variances: Leverage and Interest Rate Effects.
• Guobuzaite & Martellini (2012), The Benefits of Volatility Derivatives in Equity Portfolio Management, EDHEC Publication.
• John Hull, Options, Futures and Other Derivatives, 8^e edition, Pearson Education Inc, p. 803.
• Harry Markowitz, Portfolio Selection, The Journal of Finance, vol. 7, n° 1. (Mar., 1952), pp. 77-91.
• Sheldon & Natenberg, Option Volatility & Pricing – Advanced Trading Strategies and Techniques, chapitre 14, pp. 275-469.

Documents de recherche bancaires :

• BNP Paribas, Volatility – An Asset Class in Portfolio Management, avril 2012.
• JP Morgan, 2012 Global ETF handbook.
• Morgan Stanley, Quantitative and Derivative Strategies, déc. 2011.
• Site Internet du Chicago Board Options Exchange  : http://www.cboe.com/micro/VIX/vixwhite.pdf.