We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not …

of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already … the estimation of the variance risk premium. We gain new insights on the properties of the premium's term structure and …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a … downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to …-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future … sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims …. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the …

information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock …

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …