In this paper we explore the dynamics of Implied Volatility Surfaces (IVS) both in a single-currency framework, and in …

interest rates, foreign short interest rates and stochastic volatility. Then, we apply Least Squares Monte Carlo (LSM) method … for pricing American options under our model with stochastic volatility and stochastic interest rate. Finally, by …

We propose a Monte-Carlo calibration method for multi-currency Hybrid Local Volatility models a la Dupire. The …

known announcements can produce significant distortions in option volatility surfaces. This presents a challenge, or …, frowns and W-shapes. Furthermore, we demonstrate the model's calibration to the observed volatility surface leading up to the … volatility interpolation. Finally, we discuss how the jump probabilities are becoming increasingly observable via alternative …

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

Spot foreign exchange (FX) rates usually exhibit volatility clustering and regime switching in a finite number of …

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used … common factors can explain a vast proportion of the variation in volatility term structures across currencies. Furthermore …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found …