20.500.12556/RUL-187741 Indeks VIX in njegovi izvedeni finančni instrumenti The VIX index and its derivative financial instruments Zaključno delo obravnava indeks VIX in nanj vezane izvedene finančne instrumente. VIX je izračunan iz cen opcij na indeks S&P 500 in predstavlja tržno pričakovano, letno izraženo volatilnost ameriškega delniškega trga v naslednjih 30 dneh. V delu so predstavljeni osnovni pojmi volatilnosti in vrednotenja opcij ter matematična izpeljava indeksa VIX v okviru modelno neodvisne implicirane variance in pogodb na varianco. Obravnavani so tudi VIX terminske pogodbe, opcije, borzno trgovani produkti, pogodbe na varianco in pogodbe na volatilnost ter njihova uporaba pri varovanju, špekulaciji in diverzifikaciji portfelja. Empirični del analizira zgodovinsko gibanje indeksa VIX in njegovo povezavo z indeksom S&P 500. Rezultati poudarjajo vlogo indeksa VIX kot kazalnika pričakovane tržne volatilnosti in povečane negotovosti v obdobjih finančnega stresa. This thesis examines the VIX index and financial derivatives linked to it. The VIX is calculated from option prices on the S&P 500 index and represents the market’s annualized expectation of U.S. equity-market volatility over the following 30 days. The thesis introduces the main concepts of volatility and option pricing and derives the VIX methodology within the framework of model-free implied variance and variance swaps. It also discusses VIX futures, VIX options, exchange-traded products, variance swaps, and volatility swaps, together with their uses in hedging, speculation, and portfolio diversification. The empirical part analyzes the historical behavior of the VIX index and its relationship with the S&P 500 index. The results highlight the role of the VIX as an indicator of expected market volatility and elevated uncertainty during periods of financial stress. VIX indeks volatilnost izvedeni finančni instrumenti VIX index volatility derivative financial instruments true false false Slovenski jezik Angleški jezik Diplomsko delo/naloga 2026-09-13 08:15:13 2026-09-13 08:15:15 2026-09-16 03:40:17 0000-00-00 00:00:00 2026 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 1970-01-01 163707 24330.pdf 24330.pdf 1 E7A049F4CA07C7192A1A6E4EC4956DC0 11fb4a872230672c8ef503407e6bf82e75d3d0d2c4ac5c1c9d32b98727b471a4 745cffd4-af3a-11f1-8bc5-0050569b8976 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=247483 Fakulteta za matematiko in fiziko 0 0 0