Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

DOI10.1111/1467-9868.00282zbMath0983.60028OpenAlexW2031817855WikidataQ105386500 ScholiaQ105386500MaRDI QIDQ2729107

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 21 April 2002

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00282

zbMATH Keywords

stochastic differential equationsubordinationstochastic volatilityoption pricingOrnstein-Uhlenbeck processlong-range dependenceLévy process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Evidence from S&P500 Data, Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection, INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS, Exact simulation of Ornstein–Uhlenbeck tempered stable processes, Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information, Pricing discrete barrier options and credit default swaps under Lévy processes, Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models, Adaptive Wick--Malliavin Approximation to Nonlinear SPDEs with Discrete Random Variables, FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES, Volatility prediction based on scheduled macroeconomic announcements, Multivariate continuous-time modeling of wind indexes and hedging of wind risk, Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme, A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations, Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise, Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models, Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations, Optimal convergence rates for the invariant density estimation of jump-diffusion processes, Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models, Unnamed Item, SELF-DECOMPOSABILITY AND OPTION PRICING, Sequential Monte Carlo Methods for Option Pricing, MULTIVARIATE ECOGARCH PROCESSES, Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes, The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model, Integrating Volatility Clustering Into Exponential Lévy Models, On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes, Stochastic Volatility for Lévy Processes, Multifractal scenarios for products of geometric Lévy-based stationary models, Jumps and stochastic volatility in crude oil prices and advances in average option pricing, Forecasting and trading high frequency volatility on large indices, A dynamic equilibrium model for U-shaped pricing kernels, Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions, Geometric Asian option pricing in general affine stochastic volatility models with jumps, Long-memory continuous-time correlation models, Modelling Electricity Futures by Ambit Fields, Stationarity and Ergodicity for an Affine Two-Factor Model, REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS, A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures, Power variation and stochastic volatility: a review and some new results, Representations of continuous-time ARMA processes, Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type, A density function connected with a non-negative self-decomposable random variable, Likelihood analysis of a first‐order autoregressive model with exponential innovations, Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models, Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models, A Simple Stochastic Rate Model for Rate Equity Hybrid Products, Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model, MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS, QUADRATIC HEDGING FOR THE BATES MODEL, Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity, Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium, A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk, Non-parametric estimation of historical volatility, Realized wavelet-based estimation of integrated variance and jumps in the presence of noise, Implicit expectiles and measures of implied volatility, The Volatility of Realized Volatility, Distinguishing short and long memory volatility specifications, DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION, Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces, The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity, A non-iterative posterior sampling algorithm for linear quantile regression model, Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data, Scaling and Multiscaling in Financial Series: A Simple Model, DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS, Transient anomalous sub-diffusion on bounded domains, Some recent developments in stochastic volatility modelling, Dynamics of implied volatility surfaces, Semi-parametric modelling in finance: theoretical foundations, A semi-parametric approach to risk management, Variance-Optimal Hedging in General Affine Stochastic Volatility Models, Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions, THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL, A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA, The use of the variogram in construction of stationary time series models, UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS, Bayesian quantile regression for longitudinal data models, Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes, Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model, A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour, Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models, Inference in Lévy-type stochastic volatility models, Stochastic Integrals and Conditional Full Support, VASIČEK BEYOND THE NORMAL, A Skew Extension of the T-Distribution, with Applications, Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type, Inference for Observations of Integrated Diffusion Processes, Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk, Using information quality for volatility model combinations, Multifractality of products of geometric Ornstein-Uhlenbeck-type processes, Structure-preserving equivalent martingale measures for ℋ-SII models, The Heston stochastic volatility model in Hilbert space, Pricing a class of exotic commodity options in a multi-factor jump-diffusion model, FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS, From local volatility to local Lévy models, Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion, EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS, Wavelet Galerkin pricing of American options on Lévy driven assets, Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure, Frailty models based on Lévy processes, Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data, Stochastic volatility models for ordinal-valued time series with application to finance, GLM-methods for volatility models, Backward simulation of multivariate mixed Poisson processes, Semiparametric estimation of Value at Risk, ARMA representation of integrated and realized variances, Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes, A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS, CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES, Modelling Electricity Prices with Forward Looking Capacity Constraints, THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS, PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS, Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance, Well-balanced Lévy driven Ornstein–Uhlenbeck processes, Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models, Portfolio optimization and a factor model in a stochastic volatility market, Particle Markov Chain Monte Carlo Methods, Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables, Simultaneity and non-linear variability in financial markets: simulation and forecasting, Monitoring parameter change for time series models with application to location-Scale heteroscedastic models, IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS, Normal Tempered Stable Processes and the Pricing of Energy Derivatives, On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances, Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters, The Alpha‐Heston stochastic volatility model, On Families of Distributions with Shape Parameters, Vector Stochastic Processes with Pólya‐Type Correlation Structure, Permutation‐based tests for discontinuities in event studies, Time averaging, ageing and delay analysis of financial time series, A unified construction for series representations and finite approximations of completely random measures, Bayesian inference for quantile autoregressive model with explanatory variables, A GMM approach to estimate the roughness of stochastic volatility, Unnamed Item, Multivariate continuous-time autoregressive moving-average processes on cones, Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition, Bayesian Quantile Regression for Big Data Analysis, Flexible Bayesian quantile regression for nonlinear mixed effects models based on the generalized asymmetric Laplace distribution, Noncausal affine processes with applications to derivative pricing, Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry, Quantile regression in random effects meta-analysis model, Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination, Bayesian scale mixtures of normals linear regression and Bayesian quantile regression with big data and variable selection, Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients, VIX MODELING FOR A MARKET INSIDER, Point process simulation of generalised hyperbolic Lévy processes, Controlling the flexibility of non-Gaussian processes through shrinkage priors, Unnamed Item, Bayesian Analysis of Single-Molecule Experimental Data, Double Hierarchical Generalized Linear Models (With Discussion), A forward started jump-diffusion model and pricing of cliquet style exotics, A generalized Goodwin business cycle model in random environment, Bayesian quantile regression for partially linear additive models, The effects of asymmetric volatility and jumps on the pricing of VIX derivatives, Tail of a linear diffusion with Markov switching, Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model, Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility, Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models