<t>What do you mean by "a flatter smile than the BS smile"? In (1), they provide a better flexibility than Edgeworth (a bigger positivity domain). Perhaps to try.(1): In 'PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION'(Ángel León, Javier Mencía and E...

Thanks for the comments. Are the FVA traded only on the FX market or also on the equity market? Which model is commonly used to price and hedge these contracts (especially the OTM FVA)? Do you have references?

Hi,My references for the construction of the VIX index are:CBOE White Paper and Tale of Two Indices, Carr and WuAccording the 'new methodology' (2004), the VIX is constructed in the same way that a variance swap, i.e. thanks to a log-profile.

<t>Hi,I would to know if implied volatility derivatives exist (in practice and/or theorically) and, if yes, to get some references. The classical answer I obtain is: "There are derivatives on the VIX". But, if I well understand the CBOE's article, the VIX is more a realised variance index than an im...