determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … volatility is an observable function of the history of the spot rate and is easily (and exactly) filtered from the discrete …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility …

actively traded VIX options. Under the model, the evolution of future VIX is completely determined by the volatility function … of forward VIX squared normalized by VIX futures prices. A general volatility function with one- to three-factor models … general volatility function that incorporates mean-reversion and hump effects to test two multifactor models, (iii) finding …