Complete Models with Stochastic Volatility
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Recommendations
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Cited in
(only showing first 100 items - show all)- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- On exponential local martingales associated with strong Markov continuous local martingales
- Pointwise estimates for a class of non-homogeneous Kolmogorov equations
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
- A stochastic delay model for pricing debt and equity: numerical techniques and applications
- A continuous dependence result for ultraparabolic equations in option pricing
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Comparison results for stochastic volatility models via coupling
- Robustness for path-dependent volatility models
- On an asset model of Hobson-Rogers type
- Volatility models in practice: rough, path-dependent, or Markovian?
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Finite-dimensional representations for controlled diffusions with delay
- From volatility smiles to the volatility of volatility
- Mean percentage of returns for stock market linked savings accounts
- Convergence and stability of truncated Euler-Maruyama algorithm for stochastic proportional delay Mckean-Vlasov models with jump process
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- The pricing of options for securities markets with delayed response
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
- Asset prices are Brownian motion: Only in business time
- A simple mechanism for financial bubbles: time-varying momentum horizon
- Path dependent volatility
- Marginal distribution of some path-dependent stochastic volatility model
- Arithmetic Asian options under stochastic delay models
- Calibration of a path-dependent volatility model: empirical tests
- A complete Markovian stochastic volatility model in the HJM framework
- Convergence and almost sure exponential stability of compensated split-step theta scheme for stochastic pantograph models with Poisson random measure
- THE SQUARED ORNSTEIN‐UHLENBECK MARKET
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- Modelling the stochastic dynamics of volatility for equity indices
- Adaptive estimation for affine stochastic delay differential equations
- Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability
- Valuation of European call options for the Scott's stochastic volatility model: an explicit finite difference scheme
- On the martingale property of stochastic exponentials
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- A model for level induced conditional heteroskedasticity
- Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
- Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
- Computation of volatility in stochastic volatility models with high frequency data
- Delay geometric Brownian motion in financial option valuation
- Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- Conjugate duality in stochastic controls with delay
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Analysis of an uncertain volatility model
- Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- A model of financial bubbles and drawdowns with non-local behavioral self-referencing
- Intrinsic expansions for averaged diffusion processes
- On properties of analytically solvable families of local volatility diffusion models
- Split-step \({\theta}\)-method for stochastic delay differential equations
- A theoretical analysis of Guyon's toy volatility model
- Building a consistent pricing model from observed option prices
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Option pricing under deformed Gaussian distributions
- Free boundary and optimal stopping problems for American Asian options
- The role of fundamental solution in potential and regularity theory for subelliptic PDE
- A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- American Option Valuation with Particle Filters
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- On option pricing models in the presence of heavy tails
- Pricing and calibration in the 4-factor path-dependent volatility model
- An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
- Moser's estimates for degenerate Kolmogorov equations with non-negative divergence lower order coefficients
- Testing robustness in calibration of stochastic volatility models
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Weak diffusion limits of dynamic conditional correlation models
- Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
- Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- The risks and returns of stock investment in a financial market
- Complete–market models of stochastic volatility
- Stability analysis of stochastic fractional-order competitive neural networks with leakage delay
- Volatility is (mostly) path-dependent
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- On the equivalence of the static and dynamic asset allocation problems
- Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
- Numerical solutions of stochastic delay integro-differential equations by block pulse functions
- On the positivity and zero crossings of solutions of stochastic Volterra integrodifferential equations
- New perspectives on recent trends for Kolmogorov operators
- On the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients
- The polynomial sub-Riemannian differentiability of some Hölder mappings of Carnot groups
- On the complete model with stochastic volatility by Hobson and Rogers
- A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
- On oscillations of the geometric Brownian motion with time-delayed drift
- On the Guyon-Lekeufack volatility model
- The continuous-time limit of score-driven volatility models
- Singular risk-neutral valuation equations
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
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