This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically … Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility … volatility swaps and other volatility derivatives are given as a one-dimensional integral of an explicit function. Analytically …

This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility … Carlo simulation methodologies for estimation, inference, and model adequacy assessment. Stochastic volatility is the main … way time-varying volatility is modelled in financial markets. An appropriate scientific model description, specifying …

, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

We consider derivatives that maximize an investor's expected utility in the stochastic volatility model. We show that …

its instantaneous variance. Under the affine jump-diffusion formulation with stochastic volatility, analytic integral … futures and both European and American options under the affine model and 3/2-model. We also examine the implied volatility …

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

volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives …