maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …, and given by a volatility forecast in the time-to-maturity direction. This difference is the basis of a cross … the option arbitrage price in order to compute realistic implied volatility surfaces. Finally, the cross …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

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 …

I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which … volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent …

I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which … volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent …

VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian …