Stochastic volatility and stochastic leverage
Year of publication: |
2012
|
---|---|
Authors: | Veraart, Almut ; Veraart, Luitgard |
Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 205-233
|
Publisher: |
Springer |
Subject: | 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
Veraart, Almut E. D., (2009)
-
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum, (2021)
-
Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E., (2009)
- More ...
-
Optimal investment in the foreign exchange market with proportional transaction costs
Veraart, Luitgard, (2010)
-
Optimal Market Making in the Foreign Exchange Market
Veraart, Luitgard, (2010)
-
A Bayesian methodology for systemic risk assessment in financial networks
Gandy, Axel, (2017)
- More ...