tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

value of the contract at the relevant default times. We allow for correlation between the default times of the investor and … counterparty, and for correlation of each with the underlying risk factor, namely interest rates. We also analyze the often … neglected impact of credit spread volatility. We include Netting in our examples, although other agreements such as Margining …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …