stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term …

This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for …

The purpose of this paper is to conduct a comprehensive analysis of unspanned stochastic volatility in commodity … stochastic volatility in the crude-oil market. Sharp oil prices changes exert influence on macroeconomic activity in general and …

American-type compound options where the underlying dynamics follow Heston’s stochastic volatility model. This price is …

State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index … fluctuate largely independently. While single-factor stochastic volatility models can capture the slope of the smirk, they … using a two-factor stochastic volatility model. Because the factors have distinct correlations with market returns, and …

volatility and stochastic volatility models. …

stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …

linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude …