three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model … in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time … then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities … significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

market, volatility and jump risks, and observation error of time changes. To operationalize the models, we use volume …