In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such … volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a …

Prior literature shows that the implied volatility spread between call and put options is a bullish signal for future … returns on the underlying stocks. A common interpretation is that a high call-put implied volatility spread indicates … volatility spread is a strong bearish signal for future returns on out-of-the-money call options. Using unique data on daily …

Implied volatilities are frequently used to quote the prices of options. The implied volatility of a European option on … a particular asset as a function of strike price and time to maturity is known as the asset's volatility surface …. Traders monitor movements in volatility surfaces closely. In this paper we develop a no-arbitrage condition for the evolution …

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 …

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which … volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent …

is necessary to price the volatility risk inherent in financial markets. Non zero market risk premia have been found in … volatility. Building upon previous work by Mielkie and Davison (2013) where an approximate solution was derived for options … written on underlying assets with regime-switching volatility, we analyze the impact of the market price of volatility risk on …

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 …