existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …

smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic … and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump …-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time … free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different …

. The analysis is performed in the framework of a two-factor model with local and stochastic volatility. We describe an … algorithm for building the power series approximation of implied volatility. In the case of CEV volatility of volatility we …

are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated … rate can be nonparametric for the risk premium parameters. We derive the kernel nonparametric efficiency bounds for … opportunities in estimated derivative prices, an XMM estimator based on an information criterion is introduced. The general results …

derivatives are mostly uncorrelated, advocating the presence of unspanned volatility. This letter shows that their results can be … explained in the framework of a Gaussian HJM model with humped term-structure volatility. This implies that hedging interest …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even …

constant volatility. In this paper, we examine the best performing parametric models against nonparametric alternatives. In … particular, we study the stochastic volatility (SV) and stochastic volatility randomjump (SVJ) models as parametric benchmarks … optionpricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing …