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

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … spreads. The model matches the widespread volatility smirk in index options as well as the first two moments of government …