facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary … equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium …

tractability. Nevertheless, the formula is useful for evaluating many types of risk …

We present a novel empirical benchmark for analyzing credit risk using "pseudo firms" that purchase traded assets … corporate frictions do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …

-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …

elasticity of variance, stochastic volatility, and jump-diffusion models. Since options are derivative assets, the central …-based inferences and option prices agree with respect to volatility, changes in volatility, and higher moments. The paper surveys the …

impose tight upper and lower bounds on the implied volatility …