• Modeling VXX Price 

    Gehricke, Sebastian
    We study the VXX Exchange Traded Note (ETN) that has been actively traded on the New York Stock Exchange in recent years (Whaley, 2013). We confirm the puzzling phenomenon of the significantly negative returns of the VXX ...
  • VIX Futures ETNs and Their Derivatives 

    Gehricke, Sebastian
    This thesis studies the VIX futures exchange-traded notes (ETN) (2 and 3) and their derivatives (Chapter 4). In Chapter 2, we examine the VIX futures ETN market's tracking performance, price consistency and price discovery. ...