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Comparative analysis of stochastic models for simulating leveraged ETF price paths [PDF]
Mathematics and Modeling in FinanceThis paper compares stochastic models for simulating leveraged Exchange-Traded Funds (LETFs) price paths, focusing on their applications in risk management and option pricing.
Kartikay Goyle
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Valuation Equations for Stochastic Volatility Models [PDF]
SIAM Journal on Financial Mathematics, 2012 We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model behavior: the volatility process in our model can potentially
Erhan Bayraktar +2 more
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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 +3 more
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On leverage in a stochastic volatility model [PDF]
Journal of Econometrics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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 +2 more
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A Stochastic Volatility Model With Conditional Skewness [PDF]
Journal of Business & Economic Statistics, 2011 Les auteurs élaborent un modèle discret affine à volatilité stochastique et asymétrie conditionnelle variable (modèle SVS). Leur approche a ceci d’intéressant qu’elle dissocie de façon cohérente la dynamique de la volatilité conditionnelle de celle de l’asymétrie conditionnelle.
Feunou, Bruno, Tédongap, Roméo
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A Neural Stochastic Volatility Model
Proceedings of the AAAI Conference on Artificial Intelligence, 2018 In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis and prediction in finance.
Rui Luo 0001 +3 more
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Uncertain Volatility Models with Stochastic Bounds [PDF]
SIAM Journal on Financial Mathematics, 2018 In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead of using two deterministic bounds, the uncertain volatility fluctuates between two stochastic bounds generated by
Jean-Pierre Fouque, Ning Ning 0003
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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
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Nonparametric estimation for a stochastic volatility model [PDF]
Finance and Stochastics, 2009 Consider discrete time observations (X_{\ellδ})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the drift and the diffusion coefficient of the unobserved diffusion $V$, we propose nonparametric least square estimators ...
Fabienne Comte +2 more
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