This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

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

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

Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the … non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant …

limit of an asymmetric GARCH model risk-neutralized via Wang's transform. The connection with stochastic volatility limits …

In this paper, we provide evidence that fat tails and stochastic volatility can be important in improving in-sample fit … rates and stock returns. In terms of in-sample fit, the VAR model featuring both stochastic volatility and t … accounting for both stochastic volatility and Student's t-distributed disturbances may lead to improved forecast accuracy …