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 …

distributions retain their shape, but not their localization (mean ) or size (volatility ) as the classical Gaussian distributions … time T and frequency . For example, the volatility of the lognormal financial price distribution, derived from the … generally, the volatility of the price return distributions of Calvet and Fisher's (2002) Multifractal Model for Asset Returns …

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a …-known volatility smile along with two documented determinants, namely stochastic volatility and market risk. Under some regularity … conditions, we specify diffusion functionals leading to an asymptotically (relative to time) mean reverting volatility process …