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 …

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 …

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and … high volatility using a suitable hedging structure. One particular volatility hedge, involves taking a position in an …

An important component of theoretical CBOE Volatility Index (VIX) futures prices is a term correcting for the negative … volatility of VIX futures prices. In the same fashion that an index option's traditional implied volatility can be viewed as an … aggregate market consensus of future realized volatility, this convexity value can be viewed as an aggregate market consensus of …