In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

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

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

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 …