volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

models with stochastic volatility. This formula makes it feasible to include quoted CMS spread option prices in the general …

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic … interest rate and allows a correlation structure between the futures price process, the futures volatility process and the … interest rate process. The functional form of the futures price volatility is specified so that the model admits finite …

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 …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …

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