structure of interest rates to state space form for a fairly general class of volatility specification including stochastic … variables. Estimation of this volatility function is at the heart of the identification of the HJM model. The paper develops a … the estimators. It is shown that not all combinations of the parameters of the volatility function are equally likely. The …

We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility … maturity swap (CMS) rates. Here we examine the influence of the swaption volatility cube on CMS spread options and compare our …

pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump diffusion models, and …

-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However … is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on … the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile …

price processes also contain compound Poisson jump components. A Radon-Nikod´ym derivative process that induces the change … Radon-Nikod´ym derivative allows us to price the option under different financial-economic scenarios. We also consider …

relation by adopting a Radon-Nikodym derivative based on the exponential martingale of a correlated Brownian motion process and … a multivariate compound Poisson process. The parameters in the Radon-Nikodym derivative define a family of equivalent … parameters in the Radon-Nikodym derivative used in the alternative derivation of the integro-partial differential equation. …

squared GOP volatility then follows a square root process of dimension four. …

herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …

persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …