equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by …

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 …In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the …

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …

are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …

Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain … yield low dimensional representations of the implied volatility surface (IVS). We discussestimation issues of the model and …

implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …

option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find … implied volatility surface. To overcome this problem Carr and Madan (1999) developed a fast method to compute option prices …

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