We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to … is also found that the daily volatility risk premium presents a quite volatile behavior over time; however, our evidence … suggests that the volatility risk premium has a negligible impact on the pricing performance of Heston´s model. …

-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value …We propose a general framework to model equity volatility for a firm financed by equity and additional non … volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility … conditions for a stochastic process described forward price volatility. We compare our results with those known from the …

surface and on the implied volatility smile/skew. The method is illustrated by calibrating to market prices of Dollar …A framework for calibrating a pricing model to a prescribed set of options prices quoted in the market is presented … properties of the computed volatility surface are discussed, including the effect of the Bayesian prior on the shape of the …

Exchange, albeit under a different market structure. …