This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump … on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of … properties of stochastic volatility model are shown to have more impact on long-term options, the random jump is shown to have …

After the recent financial crisis, the market for volatility derivatives has expanded rapidly to meet the demand from … investors, risk managers and speculators seeking diversification of the volatility risk. In this paper, we develop a novel and … class of stochastic volatility models with jumps. We utilize frame duality and density projection method combined with a …

condition that the linear combination of the flow and its spatial derivative are taken into account. Such a presentation enables … us to calculate the market value of a share portfolio, provides the measurement of internal volatility in the market at …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

We consider derivatives that maximize an investor's expected utility in the stochastic volatility model. We show that … the optimal derivative that depends on the stock and its variance significantly outperforms the optimal derivative that …

options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …