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Volatility: New Estimation Techniques for Pricing Derivatives

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

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2016Bond Variance Risk Premiums 2013Forecasting with Option-Implied Information 2019Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options 2010The performance of VIX option pricing models: Empirical evidence beyond simulation 2005Pricing methods and hedging strategies for volatility derivatives 2005Hedging volatility risk 2012The world price of jump and volatility risk 2005Valuation of volatility derivatives as an inverse problem

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