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 …

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

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 …

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 …

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

, 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 …

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 …

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …We consider a market where traders have asymmetric information regarding the distribution of asset return and study …

changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information …Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases … in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility …

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 …