exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

used to derive a measure of the volatility of interest rate and also that of the Prices. This is achieved by exploiting the …

of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure … of implied volatility skews moreconsistent with the data and (ii) to capture comovements of short and long term skews … largelyunrelated to the volatility dynamics. We estimate our models using about fourteen years ofS&P 500 index option data and nd that …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …