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Your certificate is now private

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Certificate of Completion

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THIS ACKNOWLEDGES THAT

HAS COMPLETED THE SUMMER 2026 QUANT FINANCE BOOT CAMP

Ian Roberts

Roman Holowinsky, PhD

July 20, 2026

DIRECTOR

DATE

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TEAM

VIX Reconstruction and the Variance Risk Premium

Alexander Ortiz, Khanh Le, Ian Roberts

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We reconstruct the VIX from an options strip and calibrate a Merton jump-diffusion model to the same data, decomposing implied variance into diffusive and jump components. Motivated by the variance risk premium story, that investors pay a persistent premium for crash insurance that mostly goes unclaimed, we compare each component against subsequently realized volatility to see whether the diffusive piece behaves like a less biased forecast than the raw index.

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