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

Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …

volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the … market, is an affine function of the instantaneous volatility state variable (thus turning this quantity observable), we … perform a test of common jumps for multidimensional processes to assess whether an asset and its volatility jump together …

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both jumps and stochastic volatility … general stochastic volatility models with jumps. The models considered include Heston, Hull–White, Stein–Stein, Scott, the 3 …

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial …

, these expansions are not quite suitable for volatility or variance densities as they inherently assign positive mass to the …