along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

The Heston model is one of the most popular stochastic volatility models for Equity and FX modelling. Although it was …

volatility model, by developing efficient transform based pricing methods. This non-affine model gives prices of options on … realized variance which allow upward sloping implied volatility of variance smiles. Heston's (1993) model, the benchmark affine … stochastic volatility model, leads to downward sloping volatility of variance smiles - in disagreement with variance markets in …

approximation including the case where the local volatility is (or is close to) Gaussian. Secondly, we construct a control variate …

, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option … trivially expressed in terms of their implied volatility. Recently, attempts at calculating the asymptotic limits of the implied … volatility have yielded several expressions for the short-time, long-time, and wing asymptotics. In order to study the volatility …

We study here the large-time behavior of all continuous affine stochastic volatility models (in the sense of Keller …-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner … condition assumed in Gatheral & Jacquier (GJ10) under which the Heston implied volatility converges to the SVI parameterization …

data. In order for the Black-Scholes implied volatility surface to exhibit the empirically observed skew or smile, a … stochastic volatility model can be used to compute the option greeks. Because the European price under many stochastic volatility … explores three parallelization approaches for calibrating stochastic volatility models deployed on a multicore CPU cluster. The …