prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

elements, we introduce several alternative hedging methods for the fund manager to implement a better hedge for their active …

used to implement a stochastic implied volatility model in the following two steps:1) Train a market simulator for option … minimal entropy martingale measure.The resulting model can be used for risk-neutral pricing, or for Deep Hedging in the case …

strongly suggests that there in reality are no tangible welfare gains associated with hedging stochastic volatility …From an empirical perspective, the stochasticity of volatility is manifest, yet there have been relatively few attempts …. Under the assumption that the market price of risk is proportional to volatility, we can derive closed form expressions for …

) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models …We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current note …

use the deterministic SVI volatility model to estimate weekly risk-neutral distribution surfaces. The issue of calibration …-world implied distributions and implement this method on a history of SVI volatility surfaces. We analyse the first four moments …