straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends … the class of Realized Volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time … compensating for equity, volatility, and jump risks, the generating function under the risk-neutral measure inherits analytical …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

volatility and jump risks of individual firms from a unique dataset of high-frequency CDS spreads. I find that the volatility …. In the cross-section I find that volatility risk can explain 63% of the variation in the credit spreads whilst jump risk … forecasts 55%. For the CDX index I find that the volatility risk alone predicts 22% of the variation in the CDX index levels …

volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of …