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 …

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 …

to the likelihood of upward jumps in volatility. Consistent with investors disliking high levels of economic uncertainty …, we find that the overall shape of the estimated volatility pricing kernel is increasing. For certain periods, there is a … puzzling U-shape. The behavior of the volatility pricing kernel over time reveals that the financial crisis has affected …

depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a … joint dataset of bonds and Asian interest rate options, we study the inter-relations between bond and volatility risk … benchmark index (EMBI-Global), and a negative volatility risk premium, consistent with the use of Asian options as insurance in …

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