Target volatility options (TVO) are a new class of derivatives whose payoff depends on some
measure of volatility. These options allow investors to take a joint exposure to the evolution …

This paper analyses to what extent the rejection of the investment dynamics implied by the
Euler equation model with quadratic and symmetric adjustment costs can be attributed to the …

In recent years, there has been a remarkable growth of volatility options. In particular, VIX
options are among the most actively trading contracts at Chicago Board Options Exchange. …

The aim of this paper is to contribute to the current discussion about fair value accounting (FVA).
We discuss the problem surrounding FVA by relying on the role played by prudence, its …

This article postulates a flexible specification for the implied volatility surface, which accounts
for the existence of volatility skew and term structure. I show that it is possible to express …

European quanto derivatives are usually priced using the well‐known quanto adjustment
corresponding to the forward of the quantoed asset under the assumptions of the Black–…

Empirical evidence shows that, in equity options markets, the slope of the skew is largely
independent of the volatility level. Single‐factor stochastic volatility models are not flexible …

This article presents a Markov chain framework to characterize the behavior of the CBOE
Volatility Index (VIX index). Two possible regimes are considered: high volatility and low …

I perform a regression analysis to test two of the most famous heuristic rules existing in the
literature about the behavior of the implied volatility surface. These rules are the sticky delta …

This article considers a multi-asset model based on Wishart processes that accounts for
stochastic volatility and for stochastic correlations between the underlying assets, as well as …