In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the … asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …