We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns …. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility … that is derived from currency options, and reflects the cost of insurance against volatility ‡fluctuations in the …

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic … volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the … option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably …