Assessment of Multivariate Financial Risks of a Stock Share Portfolio

The method of evaluation of stochastic volatility (SV) model coefficients, with time going to the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the analytical solution of the Fokker-Planck-Kolmogorov asymptotic equation. The constructed algorithm is applied to econometric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).

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Year of publication:	2007
Authors:	Kritski, Oleg ; Ulyanova, Marina
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 8.2007, 4, p. 3-17
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	stochastic volatility model \| Fokker-Planck-Kolmogorov equation

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C02 - Mathematical Methods ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

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