Robustness for path-dependent volatility models

DOI10.1007/s10203-012-0128-4zbMath1277.91141OpenAlexW1993592365MaRDI QIDQ377786

Giovanna Villani, Mauro Rosestolato, Tiziano Vargiolu

Publication date: 7 November 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-012-0128-4

zbMATH Keywords

Hobson-Rogers modelpath-dependent volatility models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Cites Work

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• Path dependent volatility
• Marginal distribution of some path-dependent stochastic volatility model
• Calibration of a path-dependent volatility model: empirical tests
• A complete Markovian stochastic volatility model in the HJM framework
• On the complete model with stochastic volatility by Hobson and Rogers
• FINANCIAL MODELS WITH DEPENDENCE ON THE PAST: A SURVEY
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• Complete Models with Stochastic Volatility

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