Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

volatility jump diffusion model …

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and … high volatility using a suitable hedging structure. One particular volatility hedge, involves taking a position in an …

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

volatility to accommodate asymmetric volatility. Second, upward and downward jumps in the VIX are separately modeled to … from July 2006 through January 2013, we find conclusive evidence for the benefits of including both asymmetric volatility …

jumps in volatility and returns.An affine specification using Lévy processes as building blocks leads to analytically … on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility … correlations and allowing for different conditional correlations in large and small spot/volatility moves.We show that our model …

models with stochastic volatility. This formula makes it feasible to include quoted CMS spread option prices in the general …