We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The … and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and …

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available …

investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces. …

volatilité des prix à terme du pétrole brut. Enfin, la section trois met en évidence l’intérêt que peut avoir l’information …

listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be … methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies …