volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …