). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …

volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In … bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and …

Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently … investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative … instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …. -- calibration ; data design ; implied volatility surface ; Heston model ; cliquet option …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …