Results 1 to 10 of about 124,089 (295)

Broken Symmetry of Stock Returns—A Modified Jones–Faddy Skew t-Distribution

Economies
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses.
Siqi Shao, Arshia Ghasemi, Hamed Farahani, Rostislav Serota   +3 more
doaj   +1 more source

A Complete Stochastic Volatility Model in the HJM Framework [PDF]

This paper considers a stochastic volatility version of the Heath, Jarrow and Morton (1992) term structure model. Market completeness is obtained by adapting the Hobson and Rogers (1998) complete stochastic volatility stock market model to the interest ...
Carl Chiarella, Oh-Kang Kwon
core  

A general decomposition formula for derivative prices in stochastic volatility models [PDF]

We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation
Elisa Alòs
core  

On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures

, 2008
The purpose of this paper is to study the generalized Fong--Vasicek two-factor interest rate model with stochastic volatility. In this model the dispersion of the stochastic short rate (square of volatility) is assumed to be stochastic as well and it ...
Sevcovic, D., Stehlikova, B.
core  

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation [PDF]

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky ...
Gatfaoui Hayette
core  

On the Optimal Choice of Strike Conventions in Exchange Option Pricing

Mathematics
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Elisa Alòs, Michael Coulon
doaj   +1 more source

Inference for stochastic volatility model using time change transformations [PDF]

We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate
Dellaportas, Petros, Kalogeropoulos, Konstantinos, Roberts, Gareth O.   +2 more
core   +1 more source

Indirect inference for stochastic volatility models via the log-squared observations. [PDF]

Model; Models; Stochastic volatility; Volatility;
Dhaene, Geert
core  

Existence of solutions of some boundary value problems with stochastic volatility. [PDF]

Heliyon, 2020
Osu BO, Eze EO, Obasi UE, Ukomah HI.
europepmc   +1 more source

Applications of fractional stochastic volatility models to market microstructure theory and optimal execution strategies

Frontiers in Applied Mathematics and Statistics
In this paper, we explore the applications of fractional stochastic volatility (FSV) models within the realm of market microstructure theory and optimal execution strategies. FSV models extend traditional stochastic volatility frameworks by incorporating
Abe Webb
doaj   +1 more source