volatility models being an archetypal example due to the non-convexity of the objective function. In order to accelerate this … development and productionization.This paper describes the acceleration of stochastic volatility model calibration on multi …

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …

volatility models. We develop closed-form expansions and sharp error bounds for VIX futures, options and implied volatilities. In … neatly uncover how the VIX skew depends on the specific choice of the volatility and the vol-of-vol processes. Our results …

, these expansions are not quite suitable for volatility or variance densities as they inherently assign positive mass to the …

Stochastic volatility models have grown in popularity in the past decade or two. However, for many stochastic … volatility models, the functional form of volatility along with the description of the diffusion process for volatility have been … improves and that a more general specification for the stock price and volatility processes may be necessary. This leads to an …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … state vector prevents or at least severely impedes their inclusion into standard estimation approaches. This paper develops …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic …

the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility …

stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We … implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This … options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand …