We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The …. We use the straddle decomposition to analyze the volatility risk premium and the jump risk premium embedded in a straddle … volatility risk portfolio persistently generates positive returns during earnings announcement periods …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

case of stochastic volatility …

We consider derivatives that maximize an investor's expected utility in the stochastic volatility model. We show that …

Stochastic volatility, local volatility and stochastic interest rates are three of the most important extensions to the …

We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering … phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough Hawkes … the log returns and the square of the volatility index can be computed explicitly in terms of solutions of deterministic …

Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer …