Stochastic Volatility: Origins and Overview

DOI10.1007/978-3-540-71297-8_10MaRDI QIDQ3646956zbMATH OpenOpenAlexFDO

Authors Torben G. Andersen, Neil Shephard

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_10

zbMATH Keywords

ARMA-GARCHMCMCoptionsrealized volatilitystochastic volatility

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(24)

• Volatility of volatility of financial markets
• Testing for the number of states in hidden Markov models
• Computing the CEV option pricing formula using the semiclassical approximation of path integral
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
• A nonlinear model for long-memory conditional heteroscedasticity
• Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
• GMC/GEL estimation of stochastic volatility models
• Some recent developments in stochastic volatility modelling
• Symposium on stochastic volatility: an introductory overview
• Scaling and multiscaling in financial series: a simple model
• Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility
• Estimation and forecasting of long memory stochastic volatility models
• A flexible predictive density combination for large financial data sets in regular and crisis periods
• Learning to simulate sequentially generated data via neural networks and Wasserstein training
• Nonparametric volatility prediction
• Option pricing in sandwiched Volterra volatility model
• An Econometric Analysis of Volatility Discovery
• Large deviations of realized volatility
• Nonparametric Test for Rough Volatility
• Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
• Predictive distributions and the market return: the role of market illiquidity

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