volatility jump diffusion model …

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …. Within the total volatility risk profile, idiosyncratic volatility dominates aggregate volatility in REIT pricing …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

We show that there is strong commonality in the volatility of a wide range of diversified equity portfolios. Common … factor volatility (CFV) exists even when factor or anomaly returns are market-adjusted and does not appear to be attributable … idiosyncratic volatility, implying that a common volatility feature pervades the entire spectrum of equity return variation. Models …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …

When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock … prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …. The reason is that, in good times, less desirable assets with low average cash flows and high loading on market risk …