This literature review summarizes the academic research on option-implied volatility. It
describes algorithms for calculating implied volatility and various weighting schemes used to …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This paper numerically solves the call option valuation problem given a fairly general
continuous stochastic process for return volatility. Statistical estimators for volatility process …

This paper investigates the consequences of stochastic volatility for pricing spot foreign
currency options. A diffusion model for exchange rates with stochastic volatility is proposed …

We document a seasonal pattern in stock returns around quarterly earnings announcement
dates: small firms show large positive abnormal returns and a sizable increase in the …

We develop and estimate an econometric model of limit-order execution times using survival
analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Stock price discreteness adds noise to price series. The noise increases return variances
and adds negative serial correlation to return series. Standard variance and serial …

This paper presents an empirical microstructure model of bid and ask quotes that features
discreteness, random costs of market making, and ARCH volatility effects. Applied to …