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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance
Salvagnin C +4 more
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2013
In Sect. 4.5, we considered local volatility models as an extension of the Black–Scholes model. These models replace the constant volatility by a deterministic volatility function, i.e. the volatility is a deterministic function of s and t. In stochastic volatility (SV) models, the volatility is modeled as a function of at least one additional ...
Norbert Hilber +3 more
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In Sect. 4.5, we considered local volatility models as an extension of the Black–Scholes model. These models replace the constant volatility by a deterministic volatility function, i.e. the volatility is a deterministic function of s and t. In stochastic volatility (SV) models, the volatility is modeled as a function of at least one additional ...
Norbert Hilber +3 more
openaire +2 more sources
2016
Stochastic volatility models are used when the option price is very sensitive to volatility (smile) moves, and when they cannot be explained by the evolution of the underlying asset itself, see e.g. [34]. This is typically the case for exotic options.
Bruno Bouchard +1 more
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Stochastic volatility models are used when the option price is very sensitive to volatility (smile) moves, and when they cannot be explained by the evolution of the underlying asset itself, see e.g. [34]. This is typically the case for exotic options.
Bruno Bouchard +1 more
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Complete Models with Stochastic Volatility
Mathematical Finance, 1998The paper proposes an original class of models for the continuous‐time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log‐price. The instantaneous volatility is therefore driven by the same stochastic factors as the price process ...
Hobson, David G., Rogers, L. C. G.
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2008
Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time; early commentators include Mandelbrot (1963) and Officer (1973). It was also clear to the founding
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Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time; early commentators include Mandelbrot (1963) and Officer (1973). It was also clear to the founding
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Modeling Stochastic Volatility
2006This chapter introduces into the pricing and hedging of derivatives under stochastic volatility. The emphasis is on standard derivatives for various index models. We choose as underlying security a diversified index, which we interpret as GOP.
Eckhard Platen, David Heath
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Filtering of Stochastic Volatility Model
IFAC Proceedings Volumes, 2003Abstract We study the filtering problem for the stochastic volatility model of Heston by using the nonlinear estimation theory. To solve the estimation problem for the stochastic volatility process, we use the random time change method. The derived basic equation for the filtering is the so-called Zakai equation and its numerically realized algorithm
Aihara, ShinIchi, Bagchi, Arunabha
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Stochastic Volatility Modeling
Quantitative Finance, 2017In his book Stochastic Volatility Modeling, Lorenzo Bergomi organizes and shares the immense knowledge and experience on volatility modelling that he has accumulated over almost 20 years as head of...
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