In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

-time GARCH models. We price variance and volatility swaps for above-mentioned models …

The valuation of the variance swaps for local Levy based stochastic volatility with delay (LLBSVD) is discussed in this … model and apply the obtained analytical solutions to price the variance swap …

-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time … then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …

The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … calibration based on the market European swaption implied volatility surface. The first part of the thesis will briefly review the … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

parameters are obtained by matching the term structure of the future expected total variance, inferred from the volatility …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

analytical solutions (up to numerical inversion of Fourier integral) for swaps on the realized volatility and variance and for … options on these swaps. We also extend our framework for pricing forward-start options on the realized variance and volatility …, including options on the VIX.Our methodology allows us to consistently unify pricing and risk managing of different volatility …

stochastic volatility with delay and jumps is discussed in this paper. A variance swap is a forward contract on realized variance …The jumps in stock market volatility are found to be so active that this discredits many recently proposed stochastic … volatility models without jumps (Bollerslev et al (2008)). The most convincing evidence comes from recent nonparametric work …