Stochastic volatility and stochastic leverage
From MaRDI portal
Publication:470516
DOI10.1007/s10436-010-0157-3zbMath1298.60070MaRDI QIDQ470516
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/16282457/rp09_20.pdf
stochastic volatility; Ornstein-Uhlenbeck process; Lévy process; leverage effect; Heston model; Jacobi process; volatility of volatility; stochastic correlation; Barndorff-Nielsen model; Shephard model; square root diffusion
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)