Complete Models with Stochastic Volatility
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Cited in
(only showing first 100 items - show all)- A complete Markovian stochastic volatility model in the HJM framework
- Modelling the stochastic dynamics of volatility for equity indices
- Option pricing under deformed Gaussian distributions
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Functional Itô calculus, path-dependence and the computation of Greeks
- Nash estimates and upper bounds for non-homogeneous Kolmogorov equations
- A model for level induced conditional heteroskedasticity
- Singular risk-neutral valuation equations
- Adaptive estimation for affine stochastic delay differential equations
- Bubbles and crashes in a Black-Scholes model with delay
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients
- Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- Fluctuations-induced regime shifts in the endogenous credit system with time delay
- Stability analysis of stochastic fractional-order competitive neural networks with leakage delay
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
- Moser's estimates for degenerate Kolmogorov equations with non-negative divergence lower order coefficients
- The risks and returns of stock investment in a financial market
- From volatility smiles to the volatility of volatility
- Finite-dimensional representations for controlled diffusions with delay
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Intrinsic expansions for averaged diffusion processes
- The polynomial sub-Riemannian differentiability of some Hölder mappings of Carnot groups
- The pricing of options for securities markets with delayed response
- A continuous dependence result for ultraparabolic equations in option pricing
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Comparison results for stochastic volatility models via coupling
- Split-step \({\theta}\)-method for stochastic delay differential equations
- On the behaviour near expiry for multi-dimensional American options
- Pointwise estimates for a class of non-homogeneous Kolmogorov equations
- Pointwise local estimates and Gaussian upper bounds for a class of uniformly subelliptic ultraparabolic operators
- Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
- A stochastic delay model for pricing debt and equity: numerical techniques and applications
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- The continuous-time limit of score-driven volatility models
- Asset prices are Brownian motion: Only in business time
- Building a consistent pricing model from observed option prices
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Computation of volatility in stochastic volatility models with high frequency data
- The role of fundamental solution in potential and regularity theory for subelliptic PDE
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- A class of stochastic volatility models and theq-optimal martingale measure
- Arithmetic Asian options under stochastic delay models
- American Option Valuation with Particle Filters
- On the complete model with stochastic volatility by Hobson and Rogers
- Complete–market models of stochastic volatility
- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
- A Delayed Black and Scholes Formula
- QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
- SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
- Robustness for path-dependent volatility models
- scientific article; zbMATH DE number 1222810 (Why is no real title available?)
- The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
- Deterministic implied volatility models
- On the martingale property of stochastic exponentials
- THE SQUARED ORNSTEIN‐UHLENBECK MARKET
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
- On properties of analytically solvable families of local volatility diffusion models
- Optimal investment under dynamic risk constraints and partial information
- Option pricing under autoregressive random variance models
- An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
- Conjugate duality in stochastic controls with delay
- A simple mechanism for financial bubbles: time-varying momentum horizon
- Weak diffusion limits of dynamic conditional correlation models
- Pricing variance swaps for stochastic volatilities with delay and jumps
- Delay geometric Brownian motion in financial option valuation
- Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
- On option pricing models in the presence of heavy tails
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
- On the equivalence of the static and dynamic asset allocation problems
- Two-step Maruyama schemes for nonlinear stochastic differential delay equations
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Volatility is (mostly) path-dependent
- Reconstructing volatility: Pricing of index options under rough volatility
- On the positivity and zero crossings of solutions of stochastic Volterra integrodifferential equations
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- 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
- An estimator for the recombination rate from a continuously observed diffusion of haplotype frequencies
- Option pricing under some Lévy-like stochastic processes
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes
- New perspectives on recent trends for Kolmogorov operators
- On the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients
- On the Guyon-Lekeufack volatility model
- A model specification test for nonlinear stochastic diffusions with delay
- Mean percentage of returns for stock market linked savings accounts
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