A local volatility model is enhanced by the possibility of a single jump to default. The jump has a hazard rate that is … work uses a power of -1.5. It is shown how one may simultaneously recover from the prices of credit default swap contracts … and equity option prices both the deterministic component of the hazard rate function and revised local volatility. The …

approximation including the case where the local volatility is (or is close to) Gaussian. Secondly, we construct a control variate …

The Heston model is one of the most popular stochastic volatility models for Equity and FX modelling. Although it was …

, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option … trivially expressed in terms of their implied volatility. Recently, attempts at calculating the asymptotic limits of the implied … volatility have yielded several expressions for the short-time, long-time, and wing asymptotics. In order to study the volatility …

We study here the large-time behavior of all continuous affine stochastic volatility models (in the sense of Keller …-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner … condition assumed in Gatheral & Jacquier (GJ10) under which the Heston implied volatility converges to the SVI parameterization …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

) as limit cases.As an intuitive illustration of the model's power, I choose the phenomenon of volatility surfaces: I show …

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover … the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and … stochastic volatility model has special structure, so our algorithm applies to calibration of general stochastic volatility …