priori models for the trend and the stochastic volatility in order to evaluate the filters processes. The dynamic programming …This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic … volatility models. The special feature is that the only information available to the investor is the one generated by the asset …

expensive in the stochastic volatility market models and for this reason is usually employed the Black Scholes model, that is … stochastic volatility market models, with the achievement to reduce the computational cost and thus  the time machine; besides …

if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order … processing costs, the (unique) equilibrium price process is characterised by stochastic volatility. The intuition behind this … times is not characterised by stochastic volatility. But since trading and calendar times differ, the price process at …

This work proposes the application of a stochastic volatility model with jumps to the BRL/USD exchange rate. This model …

present a new Time Varying Parameter VAR model (TVP-VAR) with stochastic volatility approach which provides extreme …

volatility, given past and current returns, in a very simple way. The model can be viewed as a degenerate case of the stochastic … volatility model with perfect correlation between the two error terms. It is shown that the volatility nowcasts do not depend on …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …