aim at calibrating a stochastic volatility jump diffusion model to the whole market volatility surface at any given time …

-estimate market spreads but, again, Fan and Sundaresan has a better performance. We find rating, maturity and asset volatility effects …

. This enables us to generate an implicit volatility surface implied by market data. This model is of particular interest … since it extends the seminal Black Scholes [1973] model consistently with volatility smile. …

vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average … logarithm of the price of the underlying security. In this setting, volatility is approximately a quadratic function of … moneyness, a result we use to infer skewness and kurtosis from volatility smiles. Evidence suggests that both kurtosis in …

claims do not require the full range of the volatility matrix. Under some additional continuity conditions, the conceptual …

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two …

against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the … CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration …