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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Mathematical Finance, 2010Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral +4 more
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Stochastic Volatility III: Volatility Models and Volatility Surfaces
SSRN Electronic Journal, 2010We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility
SSRN Electronic Journal, 2004In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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, 2005 The authors study the empirical, cross-country relationship between macroeconomic volatility and long-run economic growth. They address four central questions: 1) Does the volatility-growth link depend on country and policy characteristics, such as the level of development or trade openness?
Hnatkovska, Viktoria, Loayza, Norman
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Volatile Voters and a Volatile Party System: The Results
2019The outcome of the Italian General Election of 2018 was largely unexpected. None of the competitors secured majorities of seats in both chambers, but, most importantly, populist parties such as the Five-star Movement and the League increased their shares of the vote to a much greater extent than predicted by most polls, while the mainstream parties ...
Alessandro Chiaramonte, Aldo Paparo
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SSRN Electronic Journal, 2006
Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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The signal of volatility [PDF]
, 2012 The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing ...
Till Strohsal, Enzo Weber
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JAMA: The Journal of the American Medical Association, 1979
AMYL nitrite was introduced into medical practice as a coronary vasodilator more than a century ago; for much of that time, it was a mainstay, along with nitroglycerin, for angina pectoris. At present it is not used much, having been displaced by the organic nitrates. However, amyl nitrite along with its six-carbon analog, isobutyl nitrite, has come on
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AMYL nitrite was introduced into medical practice as a coronary vasodilator more than a century ago; for much of that time, it was a mainstay, along with nitroglycerin, for angina pectoris. At present it is not used much, having been displaced by the organic nitrates. However, amyl nitrite along with its six-carbon analog, isobutyl nitrite, has come on
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Volatility of Prices and Volatility of Dividends
1998The theoretical model which we present in this chapter is an attempt to develop a framework of analysis sufficiently general to study the volatility of stock prices when markets are efficient but with no a priori specification on the distribution of the relevant stochastic processes. To this aim, we shift the attention from dividends to earnings and we
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Asymmetric Volatility and Volatility Spillovers
2016Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
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