Some recent developments in stochastic volatility modelling
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Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- Stochastic Volatility: Origins and Overview
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Stochastic volatility and stochastic leverage
- The multivariate supOU stochastic volatility model
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bond Market Structure in the Presence of Marked Point Processes
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Bounds on European option prices under stochastic volatility
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Dynamics of implied volatility surfaces
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 4201251 (Why is no real title available?)
- scientific article; zbMATH DE number 5010681 (Why is no real title available?)
- scientific article; zbMATH DE number 4054857 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- scientific article; zbMATH DE number 1897411 (Why is no real title available?)
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- Incompleteness of markets driven by a mixed diffusion
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the range of options prices
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Realized power variation and stochastic volatility model
- Stochastic Volatility for Lévy Processes
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Super-replication in stochastic volatility models under portfolio constraints
- Temporal aggregation of volatility models
- Term structure models driven by general Lévy processes
- The Distribution of Realized Exchange Rate Volatility
- Towards a general theory of bond markets
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- 𝜉-radial processes and random Fourier series
Cited in
(32)- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- On stochastic control for time changed Lévy dynamics
- Tempered positive Linnik processes and their representations
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- Asian options pricing in Hawkes-type jump-diffusion models
- Editorial. Quantitative developments in financial volatility -- theory and practice
- Valuation of an option using non-parametric methods
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- BSDEs driven by time-changed Lévy noises and optimal control
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Some pricing tools for the variance gamma model
- Stochastic Volatility: Origins and Overview
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Early exercise boundary and option prices in Lévy driven models
- Revisiting linear and lognormal stochastic volatility models
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Estimation and inference for higher-order stochastic volatility models with leverage
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- Estimation of the volatility persistence in a discretely observed diffusion model
- Recent developments in volatility modeling and applications
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