, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …

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 …

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

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

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 …

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 …

This research investigates the impact of interest rate volatility upon corporate bond yield spreads. We first consider … the impact of interest rate volatility upon noncallable bond spreads. Because greater interest rate volatility likely … increases the volatility of the firm's debt, we hypothesize the relation will be positive. Given that we do find a positive …

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 …