The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

accurate approximations. We illustrate this method in a variety of contexts including option pricing with stochastic volatility …

empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …-free implied vola-tility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

indicated that both the Badla mechanism and the introduction of SSFs seem to have contributed to the higher volatility of the …