We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic … volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their … ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

-dependent options and options on assets with stochastic volatility and jumps. " …

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar …) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood …