Search Results

Variance Swaps Under Multiscale Stochastic Volatility of Volatility,
Min-Ku Lee, See-Woo Kim and Jeong-Hoon Kim, in Methodology and Computing in Applied Probability (2022)
Keywords: Variance swap, Stochastic volatility, Stochastic volatility of volatility, Asymptotic expansion

Option Market Microstructure and Stochastic Volatility,
Douglas Steigerwald and Richard J. Vagnoni, from Department of Economics, UC Santa Barbara (2001)
Keywords: Market, Microstructure, Stochastic, Volatility

Stochastic Volatility Driven by Large Shocks,
George Kapetanios and Elias Tzavalis, from Queen Mary University of London, School of Economics and Finance (2006)
Keywords: Stochastic volatility, Structural breaks

Relating Stochastic Volatility Estimation Methods,
Charles Bos, from Tinbergen Institute (2011)
Keywords: Stochastic volatility, estimation, methodology

Spurious persistence in stochastic volatility,
Philip Messow and Walter Krämer, in Economics Letters (2013)
Keywords: Persistence; Stochastic volatility; Structural change;

Stochastic volatility and stochastic leverage,
Almut Veraart and Luitgard A. M. Veraart, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstein–Uhlenbeck process, square root diffusion, Lévy process, Heston model, Barndorff-Nielsen & Shephard model

Stochastic volatility and stochastic leverage,
Almut Veraart and Luitgard Veraart, in Annals of Finance (2012)
Keywords: Stochastic volatility, Volatility of volatility, Stochastic correlation, Leverage effect, Jacobi process, Ornstein–Uhlenbeck process, Square root diffusion, Lévy process, Heston model, Barndorff-Nielsen & Shephard model, C1, C5, G0, G1,

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility,
Andreas Kaeck and Carol Alexander, in International Review of Financial Analysis (2013)
Keywords: VIX; Volatility indices; Jumps; Stochastic volatility of volatility;

Relative Pricing of Options with Stochastic Volatility,
Olivier Ledoit, Pedro Santa-Clara and Shu Yan, from Anderson Graduate School of Management, UCLA (2002)
Keywords: stochastic volatility, Black-Scholes, implied volatility, options

Futures hedging with stochastic volatility: a new method,
Moawia Alghalith and Christos Floros, in International Journal of Computational Economics and Econometrics (2020)
Keywords: stochastic volatility; volatility of volatility; futures; hedging.

Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility,
Jong-Min Kim, Chulhee Jun and Junyoup Lee, in Mathematics (2021)
Keywords: cryptocurrencies; Bitcoin; GARCH; stochastic volatility

Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity,
Ben-Zhang Yang, Jia Yue, Ming-Hui Wang and Nan-Jing Huang, in Applied Mathematics and Computation (2019)
Keywords: Stochastic volatility model with jumps; Stochastic intensity; Volatility derivatives; Pricing;

Stochastic volatility, smile & asymptotics,
K. Ronnie Sircar and George Papanicolaou, in Applied Mathematical Finance (1999)
Keywords: Option Pricing, Volatility, Stochastic Volatility Models, Hedging, Smile, Curve,

Smiling under stochastic volatility,
Ángel León and Gonzalo Rubio, in Spanish Economic Review (2004)
Keywords: Stochastic volatility, volatility smile, skewness, kurtosis, option pricing,

Hedging with Stochastic and Local Volatility,
Carol Alexander and Leonardo Nogueira, from Henley Business School, University of Reading (2004)
Keywords: Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dymamics

Volatility in financial markets: stochastic models and empirical results,
Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna, in Physica A: Statistical Mechanics and its Applications (2002)
Keywords: Econophysics; Stochastic processes; Volatility;

A new approach for option pricing under stochastic volatility,
Peter Carr and Jian Sun, in Review of Derivatives Research (2007)
Keywords: Option pricing, Stochastic volatility,

Asymptotic Results for GMM Estimators of Stochastic Volatility Models,
Geert Dhaene and Olivier Vergote, from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2003)
Keywords: Stochastic volatility, GMM

Stylized Facts and Discrete Stochastic Volatility Models,
Alin Sima, from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB (2008)
Keywords: discrete stochastic volatility models

BUGS for a Bayesian Analysis of Stochastic Volatility Models,
Renate Meyer and Jun Yu, from Department of Economics, The University of Auckland (2000)
Keywords: Stochastic Volatility, Economics,

Stochastic volatility of volatility in continuous time,
Ole Barndorff-Nielsen and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, Lévy processes.

Stochastic Volatility Models,
Anatoliy Swishchuk, from World Scientific Publishing Co. Pte. Ltd. (2013)
Keywords: Stochastic Volatilities, Variance, Volatility, Covariance, Correlation Swaps, Change of Time, Option Pricing, Stochastic Volatilities with Delay, Multi-Factor Stochastic Volatilities Models, Regime-Switching Stochastic Volatilities, Levy-Based Stochastic Volatilities with Delay, COGARCH Stochastic Volatility, Stochastic Volatility Driven by Fractional Brownian Motion, Delayed Heston Model, Semi-Markov Stochastic Volatilities, Energy Markets, Forward and Futures in Energy Markets,

Stochastic Volatility Models,
Björn Lutz, from Springer (2010)
Keywords: Stochastic Volatility, Future Price, Stochastic Volatility Model, Adjustment Speed, Integration Node

HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY,
Dietmar P. J. Leisen, in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
Keywords: Stochastic volatility, state-dependent volatility, heterogeneity

An empirical application of a two-factor model of stochastic volatility,
Alexandr Kuchynka, in Prague Economic Papers (2008)
Keywords: volatility, stochastic volatility models, Kalman filter

A comparison between several correlated stochastic volatility models,
Josep Perelló, Jaume Masoliver and Napoleón Anento, in Physica A: Statistical Mechanics and its Applications (2004)
Keywords: Volatility autocorrelation; Leverage; Stochastic volatility models;

Pricing CAC 40 Index Options with Stochastic Volatility,
Sofiane Aboura, from HAL (2005)
Keywords: Implied volatility,skew and smile,stochastic volatility model

Pricing CAC 40 Index Options with Stochastic Volatility,
Sofiane Aboura, from HAL (2017)
Keywords: Implied volatility,skew and smile,stochastic volatility model

Pricing CAC 40 Index Options with Stochastic Volatility,
Sofiane Aboura, from HAL (2017)
Keywords: skew and smile,stochastic volatility model,Implied volatility

R-2GAM stochastic volatility model: flexibility and calibration,
Cheng Few Lee and Oleg Sokolinskiy, in Review of Quantitative Finance and Accounting (2015)
Keywords: Stochastic volatility, Implied volatility smile, Calibration, G13,

IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY,
Roger W. Lee, in International Journal of Theoretical and Applied Finance (IJTAF) (2001)
Keywords: Stochastic volatility, local volatility, implied volatility, volatility risk premium, skew, smile

Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility,
Tao Pang and Katherine Varga, in Journal of Optimization Theory and Applications (2019)
Keywords: Portfolio optimization, Stochastic volatility, Stochastic yield, HJB equation, Subsolution, Supersolution

VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS,
Oliver Pfante and Nils Bertschinger, in International Journal of Theoretical and Applied Finance (IJTAF) (2019)
Keywords: Stochastic volatility, Shannon information, geometric probability theory

Distributional Risk, Stochastic Volatility and Precautionary Savings,
Richard M. H. Suen, from University Library of Munich, Germany (2016)
Keywords: Stochastic volatility, stochastic convexity, precautionary saving.

CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION,
Orcan Ögetbil, Narayan Ganesan and Bernhard Hientzsch, in International Journal of Theoretical and Applied Finance (IJTAF) (2022)
Keywords: Local volatility, stochastic rates, stochastic volatility, calibration, Monte Carlo

The α-hypergeometric stochastic volatility model,
José Da Fonseca and Claude Martini, in Stochastic Processes and their Applications (2016)
Keywords: Equity stochastic volatility models; Volatility derivatives; European option pricing;

A multivariate threshold stochastic volatility model,
Mike K.P. So and Chi-Young Choi, in Mathematics and Computers in Simulation (MATCOM) (2008)
Keywords: Dynamic correlation; Finance; Stochastic volatility; Threshold nonlinearity; Volatility asymmetry;

Asymptotic skew under stochastic volatility,
Antoine Jacquier, from Birkbeck, Department of Economics, Mathematics & Statistics (2007)
Keywords: Implied volatility, saddlepoint, Eigenvalue equation, Heston model, stochastic volatility.

RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility,
Tom Doan, from Boston College Department of Economics
Keywords: Stochastic volatility model

Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models,
Andreas Berg, Renate Meyer and Jun Yu, from Department of Economics, The University of Auckland (2002)
Keywords: Stochastic Volatility, Economics,

Empirical performance of stochastic volatility option pricing models,
Przemyslaw S. Stilger, Ngoc Quynh Anh Nguyen and Tri Minh Nguyen, in International Journal of Financial Engineering (IJFE) (2021)
Keywords: Option pricing, stochastic volatility, calibration

New methods of estimating stochastic volatility and the stock return,
Moawia Alghalith, from University Library of Munich, Germany (2010)
Keywords: portfolio, investment, stock, stochastic volatility

Structural Change and Spurious Persistence in Stochastic Volatility,
Walter Krämer and Philip Messow, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2012)
Keywords: Persistence, stochastic volatility, structural change

A simple test for GARCH against a stochastic volatility,
Philip Hans Franses, Marco van der Leij and Richard Paap, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2005)
Keywords: GARCH, model selection, stochastic volatility

RATS programs to estimate multivariate stochastic volatility models,
Tom Doan, from Boston College Department of Economics
Keywords: Stochastic volatility, state-space models

Evidence of unspanned stochastic volatility in crude-oil market,
Razvan Tudor, from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB (2009)
Keywords: unspanned stochastic volatility, oil market

TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?,
Nicolas Boitout and Loredana Ureche-Rangau, in International Journal of Theoretical and Applied Finance (IJTAF) (2004)
Keywords: Long memory, stochastic volatility, trading volume, stochastic cascade, multifractal

A generalised stochastic volatility in mean VAR,
Haroon Mumtaz, in Economics Letters (2018)
Keywords: VAR; Stochastic volatility in mean; Error covariance;

The correlation dimension of returns with stochastic volatility,
Cees Diks, from Society for Computational Economics (2003)
Keywords: Financial Time Series, Stochastic Volatility, Correlation Integrals

A generalised stochastic volatility in mean VAR,
Haroon Mumtaz, from Queen Mary University of London, School of Economics and Finance (2018)
Keywords: VAR, Stochastic volatility in mean, error covariance

American Options Under Stochastic Volatility,
Arun Chockalingam and Kumar Muthuraman, in Operations Research (2011)
Keywords: American option, stochastic volatility, free boundary

A dynamic leverage stochastic volatility model,
Hoang Nguyen, Trong-Nghia Nguyen and Minh-Ngoc Tran, from Örebro University, School of Business (2021)
Keywords: Dynamic leverage; GAS; stochastic volatility (SV)

Estimation of stochastic volatility with LRD,
Isabel Casas, in Mathematics and Computers in Simulation (MATCOM) (2008)
Keywords: Continuous-time model; Fractional volatility process; Stochastic differential equation;

The Jacobi Stochastic Volatility Model,
Damir Filipovic, Damien Ackerer and Sergio Pulido, from HAL (2018)
Keywords: Jacobi process,option pricing,polynomial model,stochastic volatility

Passport options with stochastic volatility,
Vicky Henderson and David Hobson, in Applied Mathematical Finance (2001)
Keywords: Passport Option, Option Pricing, Stochastic Volatility, Hull And White Model,

The memory of stochastic volatility models,
Peter M. Robinson, from London School of Economics and Political Science, LSE Library (2001)
Keywords: Stochastic volatility; long memory; nonlinear functions of Gaussian processes

The Jacobi stochastic volatility model,
Damien Ackerer, Damir Filipović and Sergio Pulido, in Finance and Stochastics (2018)
Keywords: Jacobi process, Option pricing, Polynomial model, Stochastic volatility

The Jacobi Stochastic Volatility Model,
Damien Ackerer, Damir Filipović and Sergio Pulido, from Swiss Finance Institute (2016)
Keywords: Jacobi process, option pricing, polynomial model, stochastic volatility

An Intertemporal CAPM with Stochastic Volatility,
John Campbell, Christopher Polk, Stefano Giglio and Robert Turley, from C.E.P.R. Discussion Papers (2015)
Keywords: Icapm; Time-varying expected returns; stochastic volatility; Value premium

The Memory of Stochastic Volatility Models,
Peter M Robinson, from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2001)
Keywords: Stochastic volatility, long memory, nonlinear functions of Gaussian processes

The Stochastic Volatility in Mean Model,
Siem Jan Koopman and Eugenie Hol Uspensky, from Tinbergen Institute (2000)
Keywords: Forecasting; GARCH; Simulated maximum likelihood; Stochastic volatility; Stock indices

COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA,
Emilio Barucci and Maria Elvira Mancino, in International Journal of Theoretical and Applied Finance (IJTAF) (2010)
Keywords: Stochastic volatility, Fourier analysis, volatility of volatility, leverage component

Stochastic Volatility in General Equilibrium,
George Tauchen, in Quarterly Journal of Finance (QJF) (2011)
Keywords: Stochastic volatility, risk aversion, leverage effect, volatility asymmetry, G12, C51, C52

Discrete stochastic autoregressive volatility,
Adriana S. Cordis and Chris Kirby, in Journal of Banking & Finance (2014)
Keywords: Markov chain; Time-varying transition probabilities; Discrete autoregressive model; Stochastic volatility; Realized volatility;

Asymmetry in the stochastic volatility models,
Bogdan Negrea and Elena Bojesteanu, in Theoretical and Applied Economics (2008)
Keywords: stochastic models; stochastic volatility; option pricing; Fourier transform; closed-form formula.

Lévy processes driven by stochastic volatility,
Kyriakos Chourdakis, in Asia-Pacific Financial Markets (2005)
Keywords: Lévy process, Markov chain, Option pricing, Stochastic volatility, Characteristic function, Jump diffusion, Volatility smile, Volatility skew,

Stochastic volatility,
Torben Andersen and Luca Benzoni, from Federal Reserve Bank of Chicago (2009)
Keywords: Stochastic analysis

COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS,
Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee, in International Journal of Theoretical and Applied Finance (IJTAF) (2020)
Keywords: Collocating volatility, stochastic local volatility, Monte Carlo, stochastic collocation, calibration, forward volatility, barrier options

The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures,
António Alberto Santos, from GEMF, Faculty of Economics, University of Coimbra (2015)
Keywords: Bayesian estimation, Financial returns, Integrated volatility, Intraday data, Markov chain Monte Carlo, Realized volatility, Stochastic volatility.

Stochastic Volatility and GARCH: a Comparison Based on UK Stock Data,
Chiara Pederzoli, in The European Journal of Finance (2006)
Keywords: Volatility models, stochastic volatility, GARCH, value at risk,

Approximate pricing of European and Barrier claims in a local-stochastic volatility setting,
Weston Barger and Matthew Lorig, in International Journal of Financial Engineering (IJFE) (2017)
Keywords: Barrier claim, local volatility, stochastic volatility, asymptotics

VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time,
A. Hitaj, L. Mercuri and E. Rroji, from Springer (2018)
Keywords: Affine stochastic volatility, VIX, Implied volatility surface

On calibration of stochastic and fractional stochastic volatility models,
Milan Mrázek, Jan Pospíšil and Tomáš Sobotka, in European Journal of Operational Research (2016)
Keywords: Fractional stochastic volatility model; Heston model; Option pricing; Calibration; Optimization;

Testing for Volatility Jumps in the Stochastic Volatility Process,
Masahito Kobayashi, in Asia-Pacific Financial Markets (2005)
Keywords: jump process, Lagrange multiplier test, stochastic volatility process,

Nonparametric Stochastic Volatility,
Federico M. Bandi and Roberto Renò, from Institute of Economic Research, Hitotsubashi University (2009)
Keywords: Spot variance, stochastic volatility, jumps in returns, jumps in volatility, leverage effects, risk-return trade-offs, kernel methods, recurrence, market microstructure noise.

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration,
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar, in Finance and Stochastics (2016)
Keywords: Stochastic volatility, Implied volatility, Calibration, Multiscale asymptotics

Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility,
Martin Forde and Antoine Jacquier, in Applied Mathematical Finance (2010)
Keywords: Asian options, Heston, stochastic volatility, calibration, volatility swaps,

Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100,
Elchin Suleymanov, Magsud Gubadli and Ulvi Yagubov, in Risks (2024)
Keywords: Nasdaq-100; asymmetrical stochastic volatility; leverage effect; persistence of volatility

A Bayesian Semiparametric Realized Stochastic Volatility Model,
Jia Liu, in JRFM (2021)
Keywords: stochastic volatility; Dirichlet process mixture; realized volatility; density forecast

Multiple time scales and the empirical models for stochastic volatility,
G.L. Buchbinder and K.M. Chistilin, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Stochastic volatility models; Volatility autocorrelation; Leverage; Fokker–Plank equation;

Structural Change Testing in Stochastic Volatility Models,
J. del Hoyo and J.-Guillermo Llorente, from Society for Computational Economics (2002)
Keywords: Volatility, Stochastic Volatility, Structural Change, Monte Carlo, Time Varying Parameters

Stochastic lattice models for valuation of volatility options,
Jingtang Ma, Wenyuan Li and Xu Han, in Economic Modelling (2015)
Keywords: Volatility options; Stochastic volatility; Lattice algorithm; Trinomial trees;

Estimation of Stochastic Volatility Models by Nonparametric Filtering,
Shin Kanaya and Dennis Kristensen, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Realized spot volatility, stochastic volatility, kernel estimation, nonparametric, semiparametric

Estimation of stochastic volatility models by nonparametric filtering,
Shin Kanaya and Dennis Kristensen, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015)
Keywords: Realized spot volatility, stochastic volatility, kernel estimation, nonparametric, semi-parametric

The Wishart Autoregressive Process of Multivariate Stochastic Volatility,
Joann Jasiak, R. Sufana and Christian Gourieroux, from York University, Department of Economics (2005)
Keywords: Stochastic Volatility, Car Process, Factor Analysis, Reduced Rank, Realized Volatility

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates,
Alexey Medvedev and Olivier Scaillet, from Swiss Finance Institute (2007)
Keywords: American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

Stochastic volatility and leverage: Application to a panel of S&P500 stocks,
Serda Ozturk and Jean-Francois Richard, in Finance Research Letters (2015)
Keywords: Stochastic volatility; Leverage; Importance sampling;

Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility,
Gonçalo Faria, Joao Correia-da-Silva and Cláudia Ribeiro, from Universidade do Porto, Faculdade de Economia do Porto (2009)
Keywords: Asset Allocation, Stochastic Volatility, Ambiguity

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution,
Yang Zu and H. Peter Boswijk, in Journal of Empirical Finance (2017)
Keywords: Nonparametric test; Stochastic volatility models;

A finite element approach to the pricing of discrete lookbacks with stochastic volatility,
P. A. Forsyth, K. R. Vetzal and R. Zvan, in Applied Mathematical Finance (1999)
Keywords: Finite Element, Lookback, Stochastic Volatility,