This book provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling.

Julien Chevallier is Full Professor of Economics at the University Paris 8 (LED), France. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. He has published articles in leading refereed journals.

Stephane Goutte is a Maître de Conférences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University.

David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals.

Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals.

Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journals.

Introduction. Part 1: Commodities Finance. 1. Long Memory and Asymmetry in Commodity Returns and Risk: The Role of Term Spread. 2. The Quantile-Heterogeneous Autoregressive Model of Realized Volatility: New Evidence from Commodity Markets. 3. The Importance of Rollover in Commodity Returns using PARCH models. Part 2: Mathematical Stochastical Finance. 4. Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models. 5. A nonparametric ACD model. 6. Sovereign debt crisis and economic growth: new evidence for the euro area. 7. On the spot-futures no-arbitrage relations in commodity markets. 8. Compound Hawkes Processes in Limit Order Books. Part 3: Financial Volatility and Covariance Modelling. 9. Models with Multiplicative Decomposition of Conditional Variances and Correlations. 10. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. 11. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector. 12. Covariance estimation and quasi-likelihood analysis. 13. The Log-GARCH Model via ARMA Representations