growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …

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 …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

are significantly exposed to art and try to hedge their art exposure by selling a derivative. …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …