process volatilities, skews and term volatility spreads are responsive to the VIX level and the VIX option surface …

A local volatility model is enhanced by the possibility of a single jump to default. The jump has a hazard rate that is … and equity option prices both the deterministic component of the hazard rate function and revised local volatility. The …

stochastic volatility models yield possibilities in both directions. Finally we consider modelling strategies guaranteeing an …

We show that there are two distinct ways to make volatility stochastic that are differentiated by their consequences … changes to engineer stochastic volatility. Unfortunately, this is also the one that can conflict with the relationship … occasionally observed in markets between volatility and skewness. Research enhancing the tractability of the second approach to …

For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …. Markovian discrete time approximations are simulated to incorporate stochasticity in all three entities, volatility, skewness … stochasticity in volatility and skewness. Implications for a log normal volatility of volatility are presented along with the …

component for the equity bias, volatility and desirability of returns across horizons, horizon effects on expected returns, and … free rates using volatility targets …