prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility … to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation …

theory developed shows validity of the proposed bootstrap procedure for a large class of periodogram statistics. For …