• Selected
• Entire List

VIX index, VIX futures and options, Imlied volatility, Stochastic volatility, Heston model with volatility jumps

delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, jump risk

realized variance, variance swap, volatility swap, option on variance swap, volatility derivatives, VIX futures, VIX option, Heston model

delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, stochastic volatility, Sharpe ratio

stochastic volatility, jump-diffusion processes, volatility smile, option pricing, characteristic function, Fourier transform, DAX volatility surface

jump diffusion processes, exponential jumps, volatility smile, option pricing, path-dependent options, double barrier options, double touch options, Laplace transform

Delta-hedging, profit-and-loss, straddle, risk-reversal, butterfly, quadratic implied volatility, volatility skew

credit risk, Merton default model, Equity to Credit model, CreditGrades model, jump diffusion processes, stochastic volatility, credit default swap spreads, equity default swap, volatility smile

realized variance, discrete variance, quadratic variance, variance swap, volatility derivatives, Heston model

jump-diffusion, regime switching, Laplace transfrom, Barrier options

variance swap, conditional variance swaps, volatility derivatives, Heston model, stochastic volatility

beta stochastic volatility, stochastic volatility, volatility skew, local stochastic volatility

jump diffusion processes, exponential jumps, volatility smile, option pricing, path-dependent options, lookback options, Russian options, Laplace transform

local volatility, diffusion with tiled volatility

counterparty risk, jump-to-default

Stochastic volatility, Stein-Stein model, Heston model