The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures … return of 12.66% and a Sharpe ratio of 0.69. Notably, the excess returns based on the volatility strategy emanate mainly from … illiquidity, other commodity pricing factors, and exposure to the aggregate commodity market volatility. The VOL measure is …

to model a credit quality process as an Ito integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Levy …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy …

, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility … default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein …-Uhlenbeck process. We show that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the OS …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …