corresponding to the local volatility model that allows pricing quanto derivatives consistently with the observed market equity skew … volatility model to market data and then comparing the prices of European quanto euro derivatives on the Nikkei 225 index with … significant pricing errors when compared with the local volatility model.I also compare the pricing performance of the local …

We study the estimation, the dynamics, and the predictability of option-implied risk-neutral moments (variance …, skewness, and kurtosis) for individual stocks from various perspectives. We first show that it is in the estimation of the …

realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …

understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news …

equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government …

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure … model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January … document a significant positive relation between volatility and futures risk premia before May 2005, but a significant negative …