Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance … changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed … `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further …

fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the …

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …