Results 31 to 40 of about 127,087 (242)

Jump Driven Risk Model Performance in Cryptocurrency Market

International Journal of Financial Studies, 2020
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at ...
Ramzi Nekhili, Jahangir Sultan
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Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes

Journal of Function Spaces, 2019
In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
doaj   +1 more source

Numerical Simulation of the Heston Model under Stochastic Correlation

International Journal of Financial Studies, 2017
Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing ...
Long Teng, Matthias Ehrhardt, Michael Günther   +2 more
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Medidas alternativas de volatilidad en el mercado de valores peruano

Revista de Análisis Económico y Financiero, 2019
This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
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Closed-form approximate solutions for stop-loss and Russian options with multiscale stochastic volatility

AIMS Mathematics, 2023
In general, derivation of closed-form analytic formulas for the prices of path-dependent exotic options is a challenging task when the underlying asset price model is chosen to be a stochastic volatility model.
Min-Ku Lee, Jeong-Hoon Kim
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Stochastic volatility duration models [PDF]

Journal of Econometrics, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eric Ghysels, Christian Gourieroux, Joanna Jasiak   +2 more
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Model of Continuous Random Cascade Processes in Financial Markets

Frontiers in Physics, 2020
This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
doaj   +1 more source

Forecasting the Crude Oil Prices Volatility With Stochastic Volatility Models

SAGE Open, 2021
In this article, the stochastic volatility model is introduced to forecast crude oil volatility by using data from the West Texas Intermediate (WTI) and Brent markets.
Dondukova Oyuna, Liu Yaobin
doaj   +1 more source

The Heston stochastic volatility model in Hilbert space

, 2017
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process is then defined
Benth, Fred Espen, Simonsen, Iben Cathrine   +1 more
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Stochastic Volatility [PDF]

, 1995
This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete ...
Ghysels, E., Harvey, A., Renault, E.
openaire   +1 more source