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 …-form and structural models of stochastic volatility …

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former … diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …

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 …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …

Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can … deposits such as the Eurodollar. Pricing time deposit volatility in a model-free manner is a delicate issue because the …

Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit … volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices … percentage and basis point expected volatility, and show that basis point volatility can be priced in a model- free format even …

respectively by CBOE's VIX and their newly-launched swap rate volatility index -- SRVX -- exhibit significantly distinct behaviors …

Treasury price volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility? How can we … and other government bond markets. Pricing Treasury price volatility in a model-free manner is a delicate issue for two …