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 …

effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

volatility description and forecasting performances. A set of three major asynchronous international stock market indices is used …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

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 …