of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

significantly explain differences in the implied volatility surface (IVS) across stocks. Motivated by this finding, we model the IVS …

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 …

most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe … ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility …. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk-premium, and …

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