Some recent developments in stochastic volatility modelling
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites work
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
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- 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?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- 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
- 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
(29)- Recent developments in volatility modeling and applications
- Editorial. Quantitative developments in financial volatility -- theory and practice
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Tempered positive Linnik processes and their representations
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Stochastic Volatility: Origins and Overview
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Some pricing tools for the variance gamma model
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Revisiting linear and lognormal stochastic volatility models
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- Valuation of an option using non-parametric methods
- Estimation of the volatility persistence in a discretely observed diffusion model
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Early exercise boundary and option prices in Lévy driven models
- Asian options pricing in Hawkes-type jump-diffusion models
- Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
- On stochastic control for time changed Lévy dynamics
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- BSDEs driven by time-changed Lévy noises and optimal control
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