We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period … averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model … in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

The aim of this paper is to present the multi-factor swap market model with non-parametric local volatility functions … and stochastic volatility scaling factors. We provide a Dupire-like formula with which calibration can be carried out with …

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

market, volatility and jump risks, and observation error of time changes. To operationalize the models, we use volume …

The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures … return of 12.66% and a Sharpe ratio of 0.69. Notably, the excess returns based on the volatility strategy emanate mainly from … illiquidity, other commodity pricing factors, and exposure to the aggregate commodity market volatility. The VOL measure is …

We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends … the class of Realized Volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time … compensating for equity, volatility, and jump risks, the generating function under the risk-neutral measure inherits analytical …