I examine the predictability of equity implied volatility from the term structure, and find that forward volatility levels are biased predictors of future spot

This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. Th

This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book hav

The volatility term structure (VTS) reflects market expectations of average asset volatility over different time horizons. Various stochastic volatility models

Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of