given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …

-oil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative …

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit … derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage … a Brownian motion with stochastic volatility. We derive formulas for conditional default probabilities and credit …

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a … to model a credit quality process as an Ito integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Levy …

predictable variation in the means. Samp;P500 futures volatility predicted by the factor model is highly correlated with … volatility implied in Samp;P500 futures options. But both the factor and implied volatilities are significant in predicting … future volatility …

The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll … yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …; (iii) using volatility contracts as extreme downside hedges can be a viable alternative to buying out-of-the-money S&P 500 …

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit … derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage …, a credit quality process is driven by an Itô integral with respect to a Brownian motion with stochastic volatility …