This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a … the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of … parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …

including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

kind of the non-traded risk factors. Our main findings for a stochastic volatility model with unbounded volatility show …