stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains …

-neutral density. An implied volatility (IV) sentiment measure that is jointly derived from index and single stock options explains …

upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and …

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