This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …

variance contract under different scenarios, namely underpure estimation risk (or parameter risk) in a stochastic volatility … volatility instead of jumps or vice versa), and under modelrisk when risk factors are omitted (e.g. when the true model contains …

non-traded risk factors. Our main findings for a stochastic volatilitymodel with unbounded volatility show that there is …

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 …In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our …

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of …

dynamic event study. We observe a noticeable switch from a low-volatility to a high-volatility regime one day before the day … of downgrades. On average the volatility in stock returns triples around the time of downgrades and the stock return … process remains in the high-volatility regime for about three days.... …

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.[...] …