This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. …

simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …

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.[...] …

In this survey we discuss models with level-dependent and stochastic volatility from the viewpoint of derivative asset … consider models with level-dependent volatility. Most of this survey is devoted to derivative asset analysis in stochastic … volatility models. We discuss several recent developments in the theory of derivative pricing under incompleteness in the context …

of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between …

symbolic level are applied to predict the daily change in volatility of two major stock indices.... …