effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility … understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a … methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH …