We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G … as a Donsker-type result for the G-Brownian motion. G-expectation, volatility uncertainty, weak limit theorem …

structural credit risk models. Step M1 updates the value, volatility, and expected return on the firm’s assets by maximizing the …

nor can the information of the volatility cube be included. Another approach computes the convexity correction as a static … portfolio of plain-vanilla swaptions. This portfolio approach has the advantage that the volatility cube can be incorporated by … using a stochastic or local volatility model but it is the solution of an integral over an infinite number of strike prices …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …