We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that … of the implied volatility surfaces of a triangle of FX rates shows the flexibility of our framework in dealing with the …

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In … both the conditional and stochastic volatility literature, there has been some confusion between the definitions of … volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative …

-diffusion model with seasonal adjustments in stochastic volatility and convenience yield. We then calibrate our model to data from the … evidence for the positive correlation between salmon spot prices and volatility, seasonality in volatility and convenience … demand. We further show that our model produces option prices that are conform with the observation of implied volatility …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

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

ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility … clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time … superior next trading day's realized volatility forecasts …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the … futures values of volatility …