calibrate a stochastic volatility LMM to caplets, swaptions and CMS spread options, and in this way extract the implied …

-time stochastic volatility model with jumps in returns, jumps in variance, or both. Leverage is defined as a flexible function of the …

We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive …

In this paper, we present three new discretization schemes for the Heston stochastic volatility model - two schemes for …

policy choices do not matter for per capita economic growth. However, they do matter for output volatility and the medium …-term level of inflation. Greater monetary independence is associated with lower output volatility while greater exchange rate … stability implies greater output volatility, which can be mitigated if a country holds international reserves (IR) at a higher …

leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All … future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull …

The risk-neutral pricing partial differential equation from a stochastic-volatility jump-diffusion model for a European …

It has been suggested that countries which export in especially risky sectors will experience higher output volatility …. This measure is strongly correlated with terms-of-trade and output volatility, but does not exhibit a close relationship to …

smoothness conditions, the two scales realized volatility (TSRV) is robust to the form of contamination Q. To push the limits of … needs to pay attention to the precise structure and also to what use the estimator of volatility will be put …