This paper uses information on VIX to improve the empirical performance of GARCH models for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models' performance can clearly be improved by extracting daily spot volatilities from the series of VIX rather than by...

This paper uses information on VIX to improve the empirical performance of GARCH models for pricing options on the S&P 500. In pricing multiple cross-sections of options, the models’ performance can clearly be improved by extracting daily spot volatilities from the series of VIX rather than by...

Relatively little is known about the empirical performance of infinite-activity Levy jump models, especially with non-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse Gaussian jumps with affine and non-affine...

This guide walks readers through backgrounds and potential financial applications of cloud computing. Detailed discussions on practical issues in implementation are included. The authors also provide several case studies of how massive financial computing problems can be processed with cloud...