-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility …. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long … a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

and most market makers have implemented their own proprietary skew generators. Clearing houses also use the volatility … surface in estimating the initial margins for options.In this paper we show how to generate the implied volatility surface by … fitting a quadratic deterministic function to implied volatility data from Alsi index options traded on Safex. This market is …

exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility …. By studying short-term changes in volatility dynamics, it is possible to identify the start and end dates of crisis … the volatility of rand returns between January 1994 and March 2009. Dummy variables controlling for the detected shifts in …

, however, little attention has been paid to how exchange rate volatility affects the level of financial development in … developing countries, especially in Africa. Given this, this study is conducted to examine the effect of exchange rate volatility … on different measures of financial development. We use GARCH and Stochastic Volatility Methods to generate exchange rate …

Granger-causality between speculative and hedging ratios and volatility but also assesses their interactions through variance …This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns …

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models … probability measure in this setting, we construct local risk minimization hedging strategies with respect to a pricing kernel … schemes. We also test the sensitivity of the hedging strategies with respect to the risk neutral measure used by recomputing …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas … for prices and hedging strategies in terms of the security's cash gamma …