Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042): Difference between revisions

The authors review recent developments of the estimation and modeling of volatilities for financial products, as well as on the pricing and hedging of financial derivatives that are related to volatility under certain models in continuous time. The presentation is at an intuitive and heuristic level rather than mathematically sound and rigorous in nature.

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zbMATH Keywords

volatility

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estimation

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modeling

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volatility derivatives

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pricing

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reviewed by

Gheorghe Stoica

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10203-019-00271-w

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cites work

Asymptotic expansion for some local volatility models arising in finance

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A realized volatility approach to option pricing with continuous and jump variance components

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On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

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Exponentiation of conditional expectations under stochastic volatility

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A generalization of the Hull and White formula with applications to option pricing approximation

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A note on the implied volatility of floating strike Asian options

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Modeling and Forecasting Realized Volatility

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MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS

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Microstructure Noise, Realized Variance, and Optimal Sampling

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Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion

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On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method

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Local volatility dynamic models

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Long memory in continuous-time stochastic volatility models

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Affine fractional stochastic volatility models

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Functional Itō calculus and stochastic integral representation of martingales

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Robust calibration and arbitrage-free interpolation of SSVI slices

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Markovian lifts of positive semidefinite affine Volterra-type processes

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A filtering approach to tracking volatility from prices observed at random times

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Semi-analytical prices for lookback and barrier options under the Heston model

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From volatility smiles to the volatility of volatility

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Asymptotic analysis for stochastic volatility: martingale expansion

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Volatility is rough

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Moment explosions in the rough Heston model

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Q5396410

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Mimicking the one-dimensional marginal distributions of processes having an Ito differential

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Estimating stochastic volatility: the rough side to equity returns

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Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

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Estimation of volatility in a high-frequency setting: a short review

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Model-free stochastic collocation for an arbitrage-free implied volatility. I.

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Q4672379

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Asymptotic results for the Fourier estimator of the integrated quarticity

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Fourier series method for measurement of multivariate volatilities

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Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

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OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

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Identifiers

zbMATH Open document ID

1431.91388

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DOI

10.1007/s10203-019-00271-w

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2292042

@@ Property / cites work @@
+Asymptotic expansion for some local volatility models arising in finance
+Normal rank
@@ Property / cites work @@
+A realized volatility approach to option pricing with continuous and jump variance components
+Normal rank
@@ Property / cites work @@
+On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
+Normal rank
@@ Property / cites work @@
+Exponentiation of conditional expectations under stochastic volatility
+Normal rank
@@ Property / cites work @@
+A generalization of the Hull and White formula with applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+A note on the implied volatility of floating strike Asian options
+Normal rank
@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
+Normal rank
@@ Property / cites work @@
+Local volatility dynamic models
@@ Property / cites work: Local volatility dynamic models / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Itō calculus and stochastic integral representation of martingales
+Normal rank
@@ Property / cites work @@
+Robust calibration and arbitrage-free interpolation of SSVI slices
+Normal rank
@@ Property / cites work @@
+Markovian lifts of positive semidefinite affine Volterra-type processes
+Normal rank
@@ Property / cites work @@
+A filtering approach to tracking volatility from prices observed at random times
+Normal rank
@@ Property / cites work @@
+Semi-analytical prices for lookback and barrier options under the Heston model
+Normal rank
@@ Property / cites work @@
+From volatility smiles to the volatility of volatility
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis for stochastic volatility: martingale expansion
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Moment explosions in the rough Heston model
@@ Property / cites work: Moment explosions in the rough Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Q5396410
@@ Property / cites work: Q5396410 / rank @@
+Normal rank
@@ Property / cites work @@
+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility: the rough side to equity returns
+Normal rank
@@ Property / cites work @@
+Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods
+Normal rank
@@ Property / cites work @@
+Estimation of volatility in a high-frequency setting: a short review
+Normal rank
@@ Property / cites work @@
+Model-free stochastic collocation for an arbitrage-free implied volatility. I.
+Normal rank
@@ Property / cites work @@
+Q4672379
@@ Property / cites work: Q4672379 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic results for the Fourier estimator of the integrated quarticity
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
+Normal rank
@@ Property / cites work @@
+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
+Normal rank