three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …