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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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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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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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The Jacobi stochastic volatility model [PDF]
Finance and Stochastics, 2016 We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients.
Filipovic, Damir +2 more
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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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Alternative Asymmetric Stochastic Volatility Models [PDF]
SSRN Electronic Journal, 2009 The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson
Asai, Manabu, McAleer, Michael
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Bayesian Semiparametric Stochastic Volatility Modeling [PDF]
SSRN Electronic Journal, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mark J. Jensen, John M. Maheu
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Hyperbolic Normal Stochastic Volatility Model [PDF]
SSRN Electronic Journal, 2017 AbstractFor option pricing models and heavy‐tailed distributions, this study proposes a continuous‐time stochastic volatility model based on an arithmetic Brownian motion: a one‐parameter extension of the normal stochastic alpha‐beta‐rho (SABR) model.
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
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Cholesky realized stochastic volatility model [PDF]
Econometrics and Statistics, 2017 Abstract Multivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate by using only daily asset returns and (2) estimated covariance matrices ...
Shinichiro Shirota +3 more
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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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