The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This …

stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as … the mean equity premium, equity volatility, and the mean risk-free rate in the data. We find that about 96 percent of the …

stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … volatility increases.[...] …