trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … of implied volatility skews more consistent with the data and (ii) to capture comovements of short and long term skews …