We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness ...

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

This paper presents a transform-based approach for pricing American options under stochastic volatility models. The multidimensional transform-based method allows for the construction of simple ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the "square root" specification of the mainstream finance literature. Empirically, ...