volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

models with stochastic volatility. This formula makes it feasible to include quoted CMS spread option prices in the general …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility …

We consider derivatives that maximize an investor's expected utility in the stochastic volatility model. We show that … the optimal derivative that depends on the stock and its variance significantly outperforms the optimal derivative that …

stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically … Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility … volatility swaps and other volatility derivatives are given as a one-dimensional integral of an explicit function. Analytically …