forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions … volatility near expiry. Through our analyses, we are able to show that the option price will be quite different from that … the constant volatility case if the spot volatility is given the same value as the constant volatility in the Black …

that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful … information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility …

the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a …

. The volatility of a corporate bond price may have a jump when a credit rating for the bond is changed. Moreover, the … volatility of the bond is also assumed to depend on the interest rate. This new model improves the previous existing bond models … in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with …

-sectional idiosyncratic volatility. Housing data are infrequent and usually made available every month. The monthly-quarterly volatility …

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …

exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local … volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … that assumes a constant volatility. The Johannesburg Stock Exchange (JSE) lists exotic options on its Can-Do platform. Most …