crashes. The latest risk management strategy is called the target volatility strategy. The target volatility strategy is used … in order to maintain a stable realized volatility of a portfolio. The strategy re-balances the allocation of risky asset … analysis of the target volatility portfolios and financial derivatives linked to target volatility portfolios. We demonstrate …

whether the use of models which allow for negative interest rate can improve option pricing and implied volatility forecasting … asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be … two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and …

Since the market model based approach gained more popularity in implied volatility modeling literature, it is very … important to understand the restriction on implied volatility surface imposed by no arbitrage conditions. There are many papers … relationship among these conditions will be helpful for implied volatility modeler as they can avoid wrong models. We will first …

With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random …

movements. When volatility increases and markets become sparsely traded, it is not always effective to hedge adverse market …

volatility (RV). The RV measure is selected because it uniquely exhibits simultaneous stationarity and long-range dependency …

While empirical studies have established that the log-normal stochastic volatility (SV) model is superior to its … depends on the higher order moments of the volatility process. We prove that the second-order leading term is theoretically … valuation of vanilla options. We generalize the affine decomposition to other non-affine stochastic volatility models with …

stochastic volatility. The difficulty of implementing the SLV model lies in the calibration of the leverage function. In the …This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many … researchers have demonstrated that stochastic volatility models cannot capture the whole volatility surface accurately, although …

1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and …-space calculus. The optimal exercise boundary for the volatility is obtained as the unique solution to an integral equation of …