the term structure of SPX volatility smiles very well, from the shortest expiration dates all the way up to one year, on … three distinct market conditions. The ATM volatility, adjusted by diffusion time sqrt(T), is hypothesized to be equal to the … standard deviation of the underlying λ distribution. The volatility parameter σ(T) is thus deterministic and the shift …

bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are … consistent with a stochastic volatility, stochastic jump intensity model, as put premia increase in volatility but decrease in …

include affine, quadratic-Gaussian, and various stochastic volatility models of the term structure. Then we turn to models …

, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …