This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

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

This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility … Carlo simulation methodologies for estimation, inference, and model adequacy assessment. Stochastic volatility is the main … way time-varying volatility is modelled in financial markets. An appropriate scientific model description, specifying …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

&P 500 and VIX maturities. A one-factor Markovian stochastic local volatility model is shown to fit both smiles and VIX … futures within bid-ask spreads. The joint calibration actually makes it a pure path-dependent volatility model, confirming the …

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … OVX volatility data. The model characterizes two states: a normal state with low volatility and negative variance premium … and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …