difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly … capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its … volatility formation mechanisms …

recently. - Horizontal dependence of volatility: Volatility is not constant, it is mean-reverting and it tends to cluster … (meaning that high volatility is likely to be followed by high volatility periods, and vice-versa). Moreover, volatility … theory - stated differently, the returns distribution has fat tails. Moreover, shocks have a strong impact on volatility and …

This presentation introduces the rough path-dependent volatility model (RPDVM). After defining the model and its …

in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …

Volatility and Stochastic Interest rates. In this paper, we examine the combine effect of a Heston-type model for the underlying … see that stochastic volatility and stochastic interest rates have an impact on the resulting fair value of the contract … and the resulting fair fee as well as mainly on the vega hedge. Interestingly, using a stochastic volatility model leads …

21% (47%) of abnormal volatility (trading volume) associated with an average macroeconomic release. The returns earned … announcements’ contribution to index-level volatility has been relatively stable over our sample period from 2004 to 2018, while we … observe a drastic decrease in the volatility explained by macro announcements. The latter is consistent with a growing …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …