We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that … the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous volatility …

implemented and do not contain any numerical integration.These formulas are important in volatility surface construction and CMS …

The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the … previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature …, we show evidence that VIX is generally above the 30-day rolling volatility giving rise to the volatility premium, so that …

method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the … obtained as one-dimensional integrals. The specification of the volatility function is flexible and allows additional control …

Stochastic volatility models are widely used in interest rate modeling to match the option smiles -- the two most …, Heston-LMM and SABR-LMM respectively.In this paper we consider the CEV model with a general stochastic volatility. Assuming … that rate-volatility correlation is zero we are able to obtain an exact integral representation of the option price …

This paper attempts a re-examination of the relationship between the output volatility and economic growth using an … integrated (HFI) and low financially integrated (LFI) country groups. Overall, the results indicate that output volatility as a … proxy of macroeconomic volatility has negative effect on economic growth. The results appear to be stronger when we include …

which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …