as within its most common extensions (the jump-diffusion, the stochastic volatility and the stochastic interest rates …

based on the superior volatility forecast for analyzing historical data. We extend the current litearure by measuring the … volatility of an underlying asset in the last predefined period and comparing the actual volatility in currency with historical … volatility in currency to make predictions of implied volatility. We calculated stock price volatility through an optimal holding …

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in … particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family … be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …