This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose … integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD …

CDS price volatility, lower past stock returns, and higher CDS prices of the counterparty are shown to have an increasing …