straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and …

The term "volatility" applies to changeability: both that which can be measured, such as temperatures and stock prices …, and that which cannot be easily measured, such as affects and emotions. Quantitative financial volatility has typically … between volatility in dance and finance, was a notable exception. Martin focused on derivatives, which played a critical role …