the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …

build a parameterization of the correlation matrix of a multidimensional model with stochastic volatility, given that:1. The … correlation between each asset and its volatility is specified.2. The correlations between different assets are specified.In the …Recent evolutions of the business of exotic products has rendered the use of stochastic volatility models necessary …

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull …

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated …

We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale … underlying volatility Laplace transform. The second step is using a regularized kernel to invert the realized Laplace transform … important cases such as level jumps and possible dependencies between volatility moves and either diffusive or jump moves in the …