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  • Search: subject:"Stochastic Volatility Model"
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Year of publication
Subject
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Volatilität 136 Volatility 133 Stochastic volatility 128 Stochastische Volatilität 128 Stochastic process 125 Stochastischer Prozess 125 Option pricing theory 84 Optionspreistheorie 84 Theorie 75 Theory 75 Stochastic volatility model 66 stochastic volatility model 41 Monte Carlo simulation 37 Monte-Carlo-Simulation 37 Prognoseverfahren 37 Forecasting model 35 Estimation 32 ARCH model 31 ARCH-Modell 31 Schätzung 31 Bayesian inference 26 Bayes-Statistik 24 Zeitreihenanalyse 22 Time series analysis 21 Derivat 20 Derivative 20 Estimation theory 19 Markov chain 19 Option trading 19 Optionsgeschäft 19 Schätztheorie 19 USA 19 United States 19 Welt 19 World 19 Markov-Kette 18 Exchange rate 17 VAR model 17 VAR-Modell 17 Wechselkurs 17
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Online availability
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Free 143 Undetermined 119 CC license 4
Type of publication
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Article 182 Book / Working Paper 144 Other 2
Type of publication (narrower categories)
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Article in journal 131 Aufsatz in Zeitschrift 131 Working Paper 74 Graue Literatur 72 Non-commercial literature 72 Arbeitspapier 63 Hochschulschrift 11 Article 8 Aufsatz im Buch 6 Book section 6 Thesis 5 Collection of articles written by one author 4 Sammlung 4 Aufsatzsammlung 2 Collection of articles of several authors 2 Sammelwerk 2 Systematic review 1 Übersichtsarbeit 1
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Language
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English 266 Undetermined 59 German 3
Author
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Clark, Todd E. 15 Huber, Florian 14 McAleer, Michael 14 Asai, Manabu 11 Koopman, Siem Jan 11 Jungbacker, Borus 10 Kaufmann, Daniel 10 Mertens, Elmar 9 Escobar, Marcos 8 McCracken, Michael W. 8 Carriero, Andrea 7 Marcellino, Massimiliano 7 Aastveit, Knut Are 6 Kobayashi, Masahito 6 Peiris, Shelton 6 Xu, Dinghai 6 Chang, Chia-Lin 5 Chiarella, Carl 5 Neto, David 5 Sardy, Sylvain 5 Takahashi, Akihiko 5 Alòs, Elisa 4 Chan, Jiun Hong 4 Crespo Cuaresma, Jesús 4 Hol, Eugenie 4 Joshi, Mark S. 4 Li, Minqiang 4 Platen, Eckhard 4 Spokoiny, Vladimir G. 4 Baldeaux, Jan 3 Breitung, Jörg 3 Chan, Leunglung 3 Chen, Jinghui 3 Chen, Jun-Home 3 Cheng, Yuyang 3 Chiba, Masaru 3 Doppelhofer, Gernot 3 Feldkircher, Martin 3 Funahashi, Hideharu 3 Grasselli, Martino 3
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Institution
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Society for Computational Economics - SCE 3 Tinbergen Institute 3 Tinbergen Instituut 3 Université Paris-Dauphine (Paris IX) 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Econometric Society 2 Institut d'Economie et Econométrie, Université de Genève 2 School of Economics and Management, University of Aarhus 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 Birkbeck, Department of Economics, Mathematics & Statistics 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, University of Victoria 1 Department of Economics, University of Waterloo 1 EconWPA 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 HAL 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Institute for Monetary and Economic Studies, Bank of Japan 1 KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC) 1 National Bureau of Economic Research 1 Technische Universität Dresden 1 Universität Trier 1 Université Paris-Dauphine 1
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Published in...
All
International journal of theoretical and applied finance 19 The journal of futures markets 11 Quantitative finance 8 Discussion paper / Tinbergen Institute 7 Department of Economics working paper 6 Econometric Institute research papers 6 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 6 Tinbergen Institute Discussion Papers 6 International journal of financial engineering 5 Discussion paper / Centre for Economic Policy Research 4 European journal of operational research : EJOR 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 Journal of Risk and Financial Management 4 Journal of econometrics 4 Journal of risk and financial management : JRFM 4 CORE discussion papers : DP 3 Computational Statistics & Data Analysis 3 Discussion Paper 3 Economics Papers from University Paris Dauphine 3 Federal Reserve Bank of Cleveland working paper series 3 Finance and Stochastics 3 Finance research letters 3 Journal of mathematical finance 3 Journal of risk 3 MPRA Paper 3 Review of Derivatives Research 3 Tinbergen Institute Discussion Paper 3 Working paper 3 Applied Econometrics 2 CESifo working papers 2 CREATES Research Papers 2 Cahiers du Département d'Econométrie 2 Economic modelling 2 Energy economics 2 European Journal of Operational Research 2 Financial Innovation 2 Financial innovation : FIN 2 IMA journal of management mathematics 2 Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 2
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Source
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ECONIS (ZBW) 233 RePEc 72 EconStor 19 BASE 4
Showing 211 - 220 of 328
Cover Image
Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Stochastic volatility models for the Brent oil futures market : forecasting and extracting conditional moments
Solibakke, Per Bjarte - In: OPEC energy review 39 (2015) 2, pp. 184-221
Persistent link: https://www.econbiz.de/10011414460
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Asymptotic arbitrage in the Heston model
Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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The Heston model and its extensions in VBA + website
Rouah, Fabrice - 2015
derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete … derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete …
Persistent link: https://www.econbiz.de/10010527234
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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Executive stock option pricing in China under stochastic volatility
Chong, Terence Tai-Leung; Ding, Yue; Li, Yong - In: The journal of futures markets 35 (2015) 10, pp. 953-960
Persistent link: https://www.econbiz.de/10011392713
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SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian; Wigger, Gérald; Larkin, Peter - 2015
Persistent link: https://www.econbiz.de/10011374239
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2015
Persistent link: https://www.econbiz.de/10011326757
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