insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper closed form … expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1 …-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

estimating and forecasting volatility. This empirics is also related to earlier econometric studies of news impact curves (Engle …

-Scholes-Merton volatility as a representation of option prices in the interest rate market obsolete. Recently more and more cap/floor and even … many market participants have resorted to either a normal or displaced lognormal volatility market data representation … severe impact on sensitivities and (delta) hedge ratios that may appear when changing the volatility market data …

This paper studies the pitfalls of applying the Cholesky decomposition for forecasting multivariate volatility. We …