Results 51 to 60 of about 127,087 (242)
PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON
E-Jurnal Matematika, 2018 Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI +2 more
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Dynamic equicorrelation stochastic volatility [PDF]
Computational Statistics & Data Analysis, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yuta Kurose, Yasuhiro Omori
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Effect of Variance Swap in Hedging Volatility Risk
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
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Scientific African, 2023 In this paper, stochastic volatility models with asymmetric dependence were presented and applied to pricing options. A dynamic conditional copula approach was proposed to capture this dependence asymmetry.
Brian Wesley Muganda +2 more
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Multiscale Stochastic Volatility Asymptotics [PDF]
Multiscale Modeling & Simulation, 2003 In the book by \textit{J.-P. Fouqué}, \textit{G. Papanicolaou} and \textit{K. R. Sircar} [Derivatives in financial markets with stochastic volatility. Cambridge: University Press (2000; Zbl 0954.91025)] a class of models was considered where volatility is a mean-reverting diffusion with an intrinsic fast time scale.
Fouque, Jean-Pierre +3 more
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Shape-constrained semiparametric additive stochastic volatility models
Statistical Theory and Related Fields, 2019 Nonparametric stochastic volatility models, although providing great flexibility for modelling the volatility equation, often fail to account for useful shape information.
Jiangyong Yin +3 more
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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model [PDF]
, 2023 Fabien Le Floc’h
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Estimation of integrated volatility in stochastic volatility models [PDF]
Applied Stochastic Models in Business and Industry, 2005 In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log-returns). We derive consistency and distributional results for the estimators given high-frequency data, especially taking into account what kind of process we may add to ...
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Journal of Inequalities and Applications, 2019 Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms.
Yan Dong
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