We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic … volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their … ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

-dependent options and options on assets with stochastic volatility and jumps. " …

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …