This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value … components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation …

the total volatility function in a continuous-time jump diffusion model …

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …

implied volatility smile and the risk neutral density function is tested on SPX options …

We provide an efficient swaption volatility approximation for longer maturities and tenors, under the lognormal forward …-LIBOR model. In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but …

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

The stock options implied volatility skew reflects both the structural risk characteristics of the underlying company … default risk. The model can explain as much as 44\% of the cross-sectional variation in implied volatility skew and is …

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the … volatility as the implied volatility inferred from some artificial 'dynamically purified' price process that in theory allows to … order Taylor series extrapolation and quadratic interpolation. We examine the potential of the implied volatility derived …