In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …

Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can … deposits such as the Eurodollar. Pricing time deposit volatility in a model-free manner is a delicate issue because the …

Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit … volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices … percentage and basis point expected volatility, and show that basis point volatility can be priced in a model- free format even …