Results 31 to 40 of about 1,263,567 (386)
Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models [PDF]
SIAM Journal on Financial Mathematics, 2018 A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow.
Omar El Euch +3 more
semanticscholar +1 more source
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS [PDF]
Mathematical Finance, 2013 The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant model in financial mathematics. mBm is an extension of fractional Brownian motion where the Hurst parameter is allowed to vary in time. This enables the possibility to accommodate for varying local regularity, and to decouple it from long‐range dependence
Corlay, Sylvain +2 more
openaire +3 more sources
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters
Econometrics, 2016 Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or ...
Wen Xu
doaj +1 more source
Financial Innovation, 2023 We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread
Mesias Alfeus, James Collins
doaj +1 more source
Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model
Complexity, 2020 Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility.
Guohe Deng
doaj +1 more source
AIMS Mathematics, 2023 It is known in the financial world that the index price reveals the performance of economic progress and financial stability. Therefore, the future direction of index prices is a priority of investors.
Mohammed Alhagyan, Mansour F. Yassen
doaj +1 more source
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [PDF]
Journal of Financial Econometrics, 2016 We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized facts often ...
Mikkel Bennedsen +2 more
semanticscholar +1 more source
Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
openaire +3 more sources
Stochastic Volatility: Origins and Overview [PDF]
, 2009 Stochastic volatility is the main way time-varying volatility is modelled in financial markets. The development of stochastic volatility is reviewed, placing it in a modeling and historical context. Some recent trends in the literature are highlighted.
Neil Shephard, Torben G. Andersen
openaire +7 more sources
Multivariate Stochastic Volatility [PDF]
, 2009 We provide a detailed summary of the large and vibrant emerging literature that deals with the multivariate modeling of conditional volatility of financial time series within the framework of stochastic volatility. The developments and achievements in this area represent one of the great success stories of financial econometrics. Three broad classes of
Siddhartha Chib +2 more
openaire +3 more sources