. (2014), as a unifying theory of the continuous-time modeling of the term structure of interest rates. We provide several new …

that are related to level and volatility of the underlying index. We empirically compare the performance of two strategies … swaps is not optimal during extended periods of subdued volatility …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

In this note, we introduce a simple approach for building volatility cubes of an interest-rate index based on the … existing volatility cube of another index. Our approach can be formulated as a specific linear factor model, but it is … dynamical in nature, and has the advantage of simple, explicit formulas for the ATM implied volatility and skew. As an example …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

volatility need not be increased value and postponed investment. This depends on signs of correlations and what parameters are … market is nonpositive and not invariant to changes in volatility. For crude oil during 1993-2008, these changes are … identified as three significant breaks. -- real options ; oil ; volatility ; CAPM ; comparative statics …

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …