Variance and Interest Rate Risk in Unit-Linked Insurance Policies
Risks, 2020 One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form.
David Baños +2 more
doaj +1 more source
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model [PDF]
In this paper, we develop and apply Bayesian inference for an extended Nelson- Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the ...
Fuyu Yang, Nikolaus Hautsch
core
Estimating Correlated Jumps and Stochastic Volatilities [PDF]
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model’s parameters and latent state variables (jumps and stochastic ...
Jiří Witzany
core +1 more source
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
, 2020 We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as difference of two stochastic short rates. Such a setting is natural in foreign
Ogetbil, Orcan
core
TEOREMA FUNGSI INVERS DAN APLIKASINYA DALAM ESTIMASI VOLATILITAS MODEL STOKASTIK
E-Jurnal MatematikaThe Inverse Function Theorem plays a fundamental role in various areas of applied mathematics, particularly in stochastic analysis and financial modeling.
NILMA SARI, FAIHATUZ ZUHAIROH
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
Real Option Valuation with Stochastic Interest Rate and Stochastic Volatility
Matematika, 2019 . Real options are one of the most interesting research topics in Finance since 1977 Stewart C. Myers from MIT Sloan School of Management published his pioneering article on this subject in the Journal of Financial Economics.
Ramdhan Fazrianto Suwarman
doaj +1 more source
Double-jump stochastic volatility model for VIX: evidence from VVIX
, 2015 The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between ...
Huang, Jing-Zhi +3 more
core +1 more source
A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks. [PDF]
J Comb Optim, 2023 Ma M, Zhang J.
europepmc +1 more source
Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]
Eur Actuar J, 2023 Dupret JL, Barbarin J, Hainaut D.
europepmc +1 more source