mathematical finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require ...

, the volatility risk premium is a measure of the extra amount investors demand in order to hold a volatile security, above what can be computed based on expected returns. It can be defined as the compensation for inherent volatility risk divided by the

volatility beta In finance, the beta (β or market beta or beta coefficient) is a measure of how an individual asset moves (on average) when the overall stock market increases or decreases. Thus, beta is a useful measure of the contribution of an individual a ...

.''Stochastic volatility and the pricing of financial derivatives'' by Antoine Petrus Cornelius van der Ploeg 2006, University of Amsterdam page 256

Bibliography

* ''Options and the Volatility Risk Premium'' by Jared Woodard 2011, Financial Times Press ASIN B004JN0UIQ

References

{{Reflist Mathematical finance