Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …