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.

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