volatility to accommodate asymmetric volatility. Second, upward and downward jumps in the VIX are separately modeled to … from July 2006 through January 2013, we find conclusive evidence for the benefits of including both asymmetric volatility …

jumps in volatility and returns.An affine specification using Lévy processes as building blocks leads to analytically … on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility … correlations and allowing for different conditional correlations in large and small spot/volatility moves.We show that our model …

models with stochastic volatility. This formula makes it feasible to include quoted CMS spread option prices in the general …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

tendency, stochastic volatility and infinite-activity pure jump Lévy processes which include the variance gamma (VG) and the …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …