搜索结果: 1-11 共查到“理学 Stochastic volatility”相关记录11条 . 查询时间(0.062 秒)
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Stochastic volatility multi-scale asymptotic large deviation principle implied volatility smile/skew
2010/12/15
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor.
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model conditional expectation of variance
2010/12/16
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of vari...
We consider a stochastic volatility model with L´evy jumps for a log-return pro-cess Z = (Zt)t≥0 of the form Z = U +X, where U = (Ut)t≥0 is a classical stochastic volatility process and X = (Xt)...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage butterfly riskreversal SABR model
2010/4/27
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/4/27
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes optionpri-cing
2010/4/27
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still b...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Variance reduction in a stochastic volatility scenario
Monte Carlo simulations stochastic di® erential equation variance re-duction stochastic volatility
2009/1/7
This paper investigates the use of a variance reduction, called
importance sampling, for Monte Carlo methods in the case of the stochas-
tic volatility model for option pricing introduced by Hobson ...