discontinuities due to stochastic volatility and event related jump risks. We find that: (i) both volatility jumps and positive price …-linear in risk aversion while hedging demand tends to dominate the market portfolio. (iii) Volatility jumps have greater impact … on optimal portfolio decisions than price jumps and (iv) In the presence of jumps and volatility risks, optimal portfolio …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …

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

) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …

) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high … characteristic function of the price increment until the options’ expiration and we use these estimates to recover spot volatility …. Our volatility of volatility estimator is then formed from the sample variance and first-order autocovariance of the spot …

function to maturity that satisfies the consistency condition, the European volatility smile is obtained. As an illustration of … the formalism, we show that when the underlying asset price changes at constant volatility (standard deviation), the … offer a parameterization of the volatility smile with a closed-form expression using pre-calculated tables. Comprehensive …

limit of an asymmetric GARCH model risk-neutralized via Wang's transform. The connection with stochastic volatility limits …