Linear Filtering for Asymmetric Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.681291 ◽

2005 ◽

Author(s):

Chris Kirby

Keyword(s):

Stochastic Volatility ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Mathematical Methods of Operations Research ◽

10.1007/s00186-017-0609-x ◽

2018 ◽

Vol 87 (3) ◽

pp. 311-346

Author(s):

Dalia Ibrahim ◽

Frédéric Abergel

Keyword(s):

Stochastic Volatility ◽

Partial Information ◽

Optimal Investment ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Download Full-text

A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

Journal of Applied Econometrics ◽

10.1002/(sici)1099-1255(199903/04)14:2<101::aid-jae499>3.0.co;2-a ◽

1999 ◽

Vol 14 (2) ◽

pp. 101-121 ◽

Author(s):

Toshiaki Watanabe

Keyword(s):

Stock Returns ◽

Stochastic Volatility ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Daily Stock Returns ◽

Filtering Approach

Download Full-text

Linear filtering for asymmetric stochastic volatility models

Economics Letters ◽

10.1016/j.econlet.2006.03.005 ◽

2006 ◽

Vol 92 (2) ◽

pp. 284-292 ◽

Author(s):

Chris Kirby

Keyword(s):

Stochastic Volatility ◽

Linear Filtering ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

Download Full-text

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

Download Full-text

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

Download Full-text

Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text