options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage … relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

economic theory. Nevertheless, as the increasingly exquisite and detailed financial data demonstrate, financial markets often …

volatilities and a stochastic volatility model with leverage effects and jumps for asset returns. -- Dynamic latent variable model … ; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …