Critical point on variance swap pricing is established …

This paper proposes a new approach to measure premiums for volatility and jump risks in option markets. These risks are … captured by a multi-factor jump-diffusion model for the joint evolution of the underlying and the implied volatility surface … variables such as the volatility and jump-intensity of the underlying. This allows us to dynamically calibrate these variables …

bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are … consistent with a stochastic volatility, stochastic jump intensity model, as put premia increase in volatility but decrease in …

, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …