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Certificate of Completion
THIS ACKNOWLEDGES THAT
HAS COMPLETED THE SUMMER 2026 QUANT FINANCE BOOT CAMP
Ian Roberts
Roman Holowinsky, PhD
July 20, 2026
DIRECTOR
DATE

TEAM
VIX Reconstruction and the Variance Risk Premium
Alexander Ortiz, Khanh Le, Ian Roberts

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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