Search Results - subject:"stochastic volatility models"

Fast strong approximation Monte Carlo schemes for stochastic volatility models

Kahl, Christian; Jackel, Peter - In: Quantitative Finance 6 (2006) 6, pp. 513-536

Numerical integration methods for stochastic volatility models in financial markets are discussed. We concentrate on … two classes of stochastic volatility models where the volatility is either directly given by a mean-reverting CEV process … as the IJK (137) scheme, is applicable to all types of stochastic volatility models and can be employed as a drop …

Persistent link: https://www.econbiz.de/10005495809

Resampling from the past to improve on MCMC algorithms

Atchade, Yves - Départment des sciences administratives, Université … - 2006

the method with two examples. The first on a Bayesian analysis of stochastic volatility models and the other on Bayesian …

Persistent link: https://www.econbiz.de/10005710030

A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates

Tims, Ben; Mahieu, Ronald - In: Econometric Reviews 25 (2006) 2-3, pp. 409-424

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be...

Persistent link: https://www.econbiz.de/10009228506

Moment swaps

Schoutens, Wim - In: Quantitative Finance 5 (2005) 6, pp. 525-530

In this paper we discuss moment swaps. These derivatives depend on the realized higher moments of the underlying. A special case is the nowadays popular variance swaps. After introducing moment swaps we discuss how to hedge these derivatives. Moreover, we show how the classical hedge of the...

Persistent link: https://www.econbiz.de/10005495781

Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview

Jimenez, J.; Biscay, R.; Ozaki, T. - In: Asia-Pacific Financial Markets 12 (2005) 2, pp. 109-141

Persistent link: https://www.econbiz.de/10005727096

A comparison between several correlated stochastic volatility models

Perelló, Josep; Masoliver, Jaume; Anento, Napoleón - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 134-137

We compare the most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston and the …

Persistent link: https://www.econbiz.de/10011058043

Expected Value Models: A New Approach

Meddahi, Nour - Econometric Society - 2004

Two approaches dominate the time series literature for modeling expected value models. The first one is based on observable variables and includes ARMA and GARCH models, while the second one is based on latent variables and includes state space and stochastic volatility (or SV) models. The first...

Persistent link: https://www.econbiz.de/10005129810

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

Broadie, Mark; Detemple, Jerome B. - In: Management Science 50 (2004) 9, pp. 1145-1177

This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and...

Persistent link: https://www.econbiz.de/10009198188

Application of Heston model and its solution to German DAX data

Remer, R.; Mahnke, R. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 236-239

We compare two well-known examples of stochastic volatility models, the Heston model and the Hull–White model. We …

Persistent link: https://www.econbiz.de/10010591766

Nonlinear Smoother for Stochastic Volatility Model

Šimandl, Miroslav; Soukup, Tomáš - In: Bulletin of the Czech Econometric Society 8 (2001)

A new technique for nonlinear state and parameter estimation of the discrete time stochastic volatility models in the …

Persistent link: https://www.econbiz.de/10008528878