effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and … residual risk associated with the swap pricing …

-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse … Gaussian jumps with affine and non-affine volatility dynamics improve goodness of fit and option pricing performance. With …

Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the … non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant …

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … moderation ; Sectoral Shifts ; Stochastic Volatility ; Wishart Autoregressive Process ; Particle Filter ; ARCH-GARCH ; Bayesian …

volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the … squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit …. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the …