linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … Frankfurt � Deutschland No. 2009/03 Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of …- 10099 Berlin, Germany. CFS Working Paper No. 2009/03 Analyzing Interest Rate Risk: Stochastic Volatility in the Term …

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends … standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability … in the data. We discuss how stochastic volatility of volatility can be defined both non–parametrically, where we link it …

stochastic volatility modelling. Our methods allow for the joint evaluation of return and volatility dynamics with nonlinear …

methodology in a variety of contexts, including option pricing with stochastic volatility, volatility contracts and the term … stochastic volatility, volatility contracts and the term-structure of interest rates. Keywords: Asset pricing; stochastic … stochastic interest rates, stochastic volatility or macro-�nance determinants of the yield curve. Second, our expansion has an …

pricing; stochastic volatility; leverage efiect; volatility feed- back; option implied volatility; realized volatility … per se, however, but rather changing prices of con- sumption risk induced by the presence of stochastic volatility … Model Solution Numerous more exible continuous-time stochastic volatility models have been proposed in the literature. We …

option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably … volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic … volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the …

Continuous-time stochastic volatility models are becoming increasingly popular in finance because of their flexibility … method for non-Gaussian Ornstein-Uhlenbeck-based stochastic volatility models. After deriving explicit expressions of the …