In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock … simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …

We extend and generalize some results on bounding security prices under several stochastic volatility models that …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model …

Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …

the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility …

stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We … options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand … implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This …

-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation … volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to … between short-term firms' assets returns and variance, whereas the other factor determines the correlation between long …