an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility …

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …

kind of the non-traded risk factors. Our main findings for a stochastic volatility model with unbounded volatility show …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and …