Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models

DOI10.1111/1467-9469.00331zbMATH Open1051.60048OpenAlexW2152817870MaRDI QIDQ4828199FDOQ4828199

Authors: Ole E. Barndorff-Nielsen, Neil Shephard 

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00331

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zbMATH Keywords

econometricsoption pricingOrnstein-Uhlenbeck processstochastic volatilityintegrated variancecumulant functionchronometerLévy processLévy densitybackground driving Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• The Distribution of Realized Exchange Rate Volatility
• Processes of normal inverse Gaussian type
• Generalized gamma convolutions and related classes of distributions and densities
• Superposition of Ornstein-Uhlenbeck type processes
• Empirical modeling of exchange rate dynamics
• Probability measures, Lévy measures and analyticity in time
• On the Lévy measure of the lognormal and the logCauchy distributions

Cited In (51)

• Inertial Lévy flights in bounded domains
• Moments of the asset price for the Barndorff-Nielsen and Shephard model
• Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes
• Pricing of the time-change risks
• American option valuation under time changed tempered stable Lévy processes
• The Ornstein-Uhlenbeck process and variance gamma process: parameter estimation and simulations
• Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
• Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
• Fractionally integrated Gauss-Markov processes and applications
• A spread-return mean-reverting model for credit spread dynamics
• Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
• Estimation of parameters of the Ornstein-Uhlenbeck type processes with continuum of moment conditions
• Continuous processes derived from the solution of generalized Langevin equation: theoretical properties and estimation
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces
• Goodness-of-fit based on downsampling with applications to linear drift diffusions
• CGMM LASSO-type estimator for the process of Ornstein-Uhlenbeck type
• Super- and subdiffusive positions in fractional Klein-Kramers equations
• Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
• Local subexponentiality and self-decomposability
• Efficient simulation of Lévy-driven point processes
• Sample path moderate deviations for the cumulative fluid produced by an increasing number of exponential on-off sources
• Modeling high frequency stock market data by using stochastic models
• Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• Recent results in the theory and applications of CARMA processes
• Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
• Inference procedures for stable-Paretian stochastic volatility models
• Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
• Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
• Random acceleration process on finite intervals under stochastic restarting
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• Mortality modelling with Lévy processes
• Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
• The split-SV model
• Optimal bond portfolios with fixed time to maturity
• Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Smiles \& smirks: volatility and leverage by jumps
• Exact simulation of normal tempered stable processes of OU type with applications
• Exact simulation of a truncated Lévy subordinator
• Some recent developments in stochastic volatility modelling
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes
• Selfdecomposable fields
• Higher order approximation of option prices in Barndorff-Nielsen and Shephard models

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