proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any …

verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for … Heston's stochastic volatility model. We find that only under a specific condition on the model parameters does the problem …

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility …

In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct …

A formula is derived for the 'effective' skew in a stochastic volatility model with a time-dependent local volatility …

Stochastic volatility models present a natural way of working with time-varying volatility. However the difficulty … exploit Gibbs sampling to provide a likelihood framework for the analysis of stochastic volatility models, demonstrating how … the literature. We also compare the fit of the stochastic volatility model to that of ARCH models using the likelihood …

, N. (2004). 'Power variation and stochastic volatility: a review and some new results', Journal of Applied Probability …

distribution of the second period state prices. Mean reversion in stock returns, Bayesian learning, stochastic volatility and …