Stochastic volatility
A multifactor stochastic volatility model of commodity prices
... unspanned stochastic volatility (USV), which implies that futures and other commodity linear contracts are unable to hedge spot price volatility risk, making options over futures non-redundant ...
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Pricing American put options under stochastic volatility using the Malliavin derivative
... At each time step ranging between the current time and maturity, we compute an iterative calculation, comparing this conditional expectation with the intrinsic value. This calculus is performed step by step backwards ...
11
An empirical application of stochastic volatility models to Latin-American stock returns using GH skew student's t-distribution
... time-varying volatility has been widely used in the literature of …nancial time series, as the demand for volatility forecasts has increase to assess the …nancial ...the stochastic volatility ...
41
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
... correlating stochastic differential equations from different classes) have been introduced since 2000 in order to extend well-known stochastic volatility models such as the Heston ...Heston ...
36
Empirical pricing performance of commodity derivatives models : when is worth to use a stochastic volatility specification?
... the volatility components and the spot price and forward cost-of-carry curve are consistent with the presence of unspanned stochastic volatility in this market but in a weaker way than for oil and ...
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Incorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond prices
... In this paper, we consider a two-factor interest rate model with stochastic volatility and we assume that the instantaneous interest rate follows a jump-diffusion process. In this kind of problems, a ...
12
A Computationally efficient Method for Obtaining Smoothed Volatilities in Long Memory Stochastic Volatility Models
... return volatility series decay at a slow hyperbolic rate instead of exponentially like in weakly stationary models; see ...Memory Stochastic Volatility (LMSV ) ...
21
TítuloAnalysis and numerical methods for stochastic volatility models in valuation of financial derivatives
... a stochastic volatility model known as the SABR model (acronym for stochastic, alpha, beta and rho, three of the four model parameters), arguing that local volatility models could not repro- ...
290
The risk-neutral stochastic volatility in interest rate models with jump–diffusion processes
... The rest of the paper is organized as follows. Section 2 develops a two-factor jump-diffusion model with stochastic volatility to price interest rate derivatives. Section 3 proposes some results to estimate ...
15
A parallel algorithm for pricing American options under stochastic volatility
... under stochastic volatility, and show that, although these proce- dures are comparable in terms of precision, CS is the best method in terms of speed, while PSOR is the slowest, but the easiest to ...
97
A Nonparametric approach to the noise density in stochastic volatility models
... We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our ap- proach suggests that the assumption of ...
10
Prediction of the Binding Affinity between Fenoterol Derivatives and the β2-Adrenergic Receptor Using Atom-Based 3D-Chiral Linear Indices
... Previous reports have established the enantioselective binding preference for β 2 -ARs, with the R-configuration at the stereogenic centre containing the β-OH moiety (Eimerl et al., 1987; Wieland et al., 1996; Kikkawa et ...
10
Notes on international volatility for the country studies
... consumption volatility, the coefficient of such a variable would not be significantly different from ...excess volatility consists of two ...excess volatility originating in financial market failures ...
35
“Open dynamical systems for beginners: algebraic foundations”
... Remark 4.2.5. The above examples provide a partial view on quantum dynamical semigroups, in all these cases the generators are bounded which is not satisfactory from the point of view of physical applications. The theory ...
43
Skewed Lévy Models and Implied Volatility Skew.pdf
... implied volatility pattern, where the dumping parameter controls the implied volatility curve’s skew, resulting in a measure of the model’s skew- ...
14
How does dollarization affect real volatility and country risk?
... In the literature there are two complementary visions to evaluate the convenience of a monetary union. The theory of the optimal currency areas (OCA) states that under conditions of symmetry of shocks, factor mobility, ...
40
Essays on Sovereign Debt Crises and Macroeconomic Volatility
... income volatility, especially in developing countries, as a consequence of specialization and vulnerability to external ...intrinsic volatility as assumed in my ...output volatility, developing ...
80
Informality and macroeconomic volatility : do credit constraints matter?
... macroeconomic volatility. To this end, the author develops a simple dynamic stochastic general equilibrium model featuring tax avoidance and evasion ...cyclical volatility of consumption and ...
26
A spectral perspective on excess volatility
... financial volatility simply reflects a larger risk premium in financial ...financial volatility is also an order of magnitude higher than its real ...excessive volatility that spans an order of ...
7
Stochastic resonance and brownian ratchets
... This discussion indicates that both enhancements, in spite of being controlled by external stochastic fluctuations, have distinct physical origins. The enhancement at a lower temperature is associated with the ...
10