include palladium, silver, and platinum. The study is conducted on the monthly data of crude oil price and white precious … platinum and palladium. Whereas, an insignificant relationship has been found between the oil prices and silver returns …. Results indicate that palladium and platinum both precious metals act as a safe haven for investors. In contrast, change in …

implied volatility index level and term structure, we show the important role of the term structure in determining future …

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

observed single- and multi-asset derivative prices. The pricing model is constructed as a random mixture of N reference models … this method to equity and index options shows that, while multivariate diffusion models with constant correlation fail to … correlation patterns compatible with observed prices of index options. Our method allows, as a by product, to quantify this model …

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

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

The purpose of this study is to model implied volatility surfaces and identify risk factors that account for most of … the randomness in the volatility surfaces. The approach is similar to that of the Dumas, Fleming and Whaley (DFW) (1998 … smooth implied volatility surfaces. Next, principal component analysis is applied to the implied volatility surfaces to …