I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from …

fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …

rate volatility in the short run. Second, I estimate event study regressions with intraday data, which allowed to confirm …

options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

I test for the presence of asymmetric volatility in the Swiss Franc cross-rate futures markets. My investigation is … based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series … from 2004 through 2009. I find that a decline in futures returns, while apparently leading to lower volatility asymmetry …