Artifact Removal from Single-Trial ERPs using Non-Gaussian Stochastic Volatility Models and Particle Filter

2014 ◽  
Vol 21 (8) ◽  
pp. 923-927 ◽  
Keyword(s):  
Particle Filter ◽  
Stochastic Volatility ◽  
Single Trial ◽  
Stochastic Volatility Models ◽  
Artifact Removal ◽  
Volatility Models ◽  
Non Gaussian

scholarly journals PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS

2019 ◽  
Vol 22 (08) ◽  
pp. 1950043 ◽  
Author(s):  
TAKUJI ARAI
Keyword(s):  
Fourier Transform ◽  
Stochastic Volatility ◽  
Numerical Experiments ◽  
Option Price ◽  
Call Option ◽  
Stochastic Volatility Models ◽  
Risky Assets ◽  
Volatility Models ◽  
Vix Options ◽  
Non Gaussian

The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been traded actively very much. In this paper, we give representations of the VIX call option price for the Barndorff-Nielsen and Shephard models: non-Gaussian Ornstein–Uhlenbeck type stochastic volatility models. Moreover, we provide representations of the locally risk-minimizing strategy constructed by a combination of the underlying riskless and risky assets. Remark that the representations obtained in this paper are efficient to develop a numerical method using the fast Fourier transform. Thus, numerical experiments will be implemented in the last section of this paper.

scholarly journals Particle Filters for Markov-Switching Stochastic Volatility Models

2018 ◽  
Author(s):  
Yun Bao ◽  
Carl Chiarella ◽  
Boda Kang
Keyword(s):  
Markov Chain ◽  
Particle Filter ◽  
Stochastic Volatility ◽  
Regime Switching ◽  
Transition Probabilities ◽  
Dirichlet Distribution ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Auxiliary Particle ◽  
Auxiliary Particle Filter

This chapter proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. It proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the Markov chain in the auxiliary particle filter. A simulation-based algorithm is presented for the method that demonstrates the ability to estimate a class of models in which the probability that the system state transits from one regime to a different regime is relatively high. The methodology is implemented in order to analyze a real-time series, namely, the foreign exchange rate between the Australian dollar and the South Korean won.

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