The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

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

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … probability, while probabilities are derived from an estimated stochastic volatility model of the form GARCH components with … one-day ahead forecast of derivative price distributions and minimum variance hedge ratios. Empirical results suggest that …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

.43% for expected inflation for the forthcoming year and 1% for the years beyond that. The prospect of hedging inflation risk …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …