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SVJ model, SVCJ model, SVIJ model ：Errata on the Impact of Jumps in Volatility
4 个回复 - 1078 次查看 SVJ model, SVCJ model, SVIJ model ：Errata on the Impact of Jumps in Volatility and Returns SVCJ model, SVIJ model ：Errata on the Impact of Jumps in Volatility and Returns SVJ model, SVCJ model, SV ...2020-9-13 15:03 - Fu-pear - 现金交易版

Springer Finance Series系列之Uncertain Volatility Models
28 个回复 - 3688 次查看 This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX ...2015-4-21 13:18 - lasgpope - 量化投资

【随机波动性模型，金融数学】 Stochastic Volatility Modeling (2016) by L. Bergomi
85 个回复 - 16931 次查看 Stochastic Volatility Modeling Lorenzo Bergomi Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in ...2016-12-9 09:52 - cmwei333 - 金融学（理论版）

Dynamic Models for Volatility and Heavy Tails
10 个回复 - 2999 次查看求助：Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time SeriesAndrew C. Harvey (作者) Andrew Harvey is Professor of Econometrics at the University of Cam ...2014-12-3 22:04 - lovebao - 悬赏大厅

Sample quantile analysis for long-memory stochastic volatility models
1 个回复 - 854 次查看 Sample quantile analysis for long-memory stochastic volatility models2015-10-27 20:31 - lucky187 - 求助成功区

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
2 个回复 - 933 次查看【作者(必填)】Nicolato, E. and E. Venardos 【文题(必填)】Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type 【年份(必填)】2003 Mathematical Finance, 13:445-466. ...2015-5-27 21:38 - Bumboo - 求助成功区

Volatility model applications in China's SSE50 options market
1 个回复 - 621 次查看【作者(必填)】Yeguang Chi[/backcolor],Wenyan Hao[/backcolor],Yifei Zhang[/backcolor] 【文题(必填)】Volatility model applications in China's SSE50 options market 【年份(必填)】2021 【全文链接或数 ...2022-3-14 16:50 - hnhs100 - 求助成功区

Social media sentiment, model uncertainty, and volatility forecasting☆
1 个回复 - 428 次查看【作者(必填)】StevenLehrer[/backcolor] TianXie[/backcolor] XinyuZhang[/backcolor] 【文题(必填)】Social media sentiment, model uncertainty, and volatility forecasting☆ 【年份(必填)】2021 ...2021-8-12 15:39 - hengchao919 - 求助成功区

求“What good is a volatility model?” A reexamination after 20 years
2 个回复 - 439 次查看【作者(必填)】Christopher F. Baum, Stan Hurn 【文题(必填)】“What good is a volatility model?” A reexamination after 20 years 【年份(必填)】 2021 【全文链接或数据库名称(选填)】First Published J ...2021-7-4 10:03 - 地下爆菊 - 求助成功区

A Stochastic Volatility Model With a General Leverage Specification
1 个回复 - 615 次查看【作者(必填)】 23 【文题(必填)】 A Stochastic Volatility Model With a General Leverage Specification 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://amstat.tandfonline.com/doi/full/10.10 ...2021-6-2 15:03 - internet.hzx - 求助成功区

Bayesian Analysis of Stochastic Volatility Models
1 个回复 - 557 次查看【作者(必填)】Eric Jacquier, Nicholas G. Polson and Peter E. Rossi 【文题(必填)】Bayesian Analysis of Stochastic Volatility Models 【年份(必填)】1994 【全文链接或数据库名称(选填)】https://www ...2021-5-31 09:44 - sunny.syf - 求助成功区

A Permanent and Transitory Component Model of Stock Return Volatility
1 个回复 - 2550 次查看【作者(必填)】Engle, R.F. and Lee, G.J. 【文题(必填)】A Permanent and Transitory Component Model of Stock Return Volatility 【年份(必填)】1999 【全文链接或数据库名称(选填)】2014-11-14 01:47 - jigesi - 文献求助专区

A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Mo
3 个回复 - 806 次查看【作者(必填)】 MACTC 【文题(必填)】 A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 【年份(必填)】 2019 【全文链接或数据库名称(选填)】https://amstat.tandfonli ...2019-12-9 14:56 - internet.hzx - 求助成功区

全源代码，excel期权编程圣经Option Pricing Models and Volatility Using Excel VBA
22 个回复 - 7658 次查看全源代码，excel期权编程圣经Option Pricing Models and Volatility Using Excel VBA2014-3-7 13:09 - giftedlike - 量化投资

免費 A Stochastic Volatility LIBOR Market Model with a closed form solution
8 个回复 - 3053 次查看 A Stochastic Volatility LIBOR Market Model with a closed form solution by Hazim Nada Imperial College London Centre for Quantitative Finance 1 Introduction 6 2 Literature Review 9 2.1 Review ...2009-10-12 15:58 - martinnyj - 金融学（理论版）

SV Model, Stochastic volatility model, 随机波动率模型， stata, eviews, OxMetrics
6 个回复 - 4422 次查看最近写论文需要用到SV和SV的扩展模型预测汇率，数据已经弄好，需要用simulated maximum likelihood估计，并且用滚动窗口预测未来100天汇率波动率，最好用OxMetrics或者stata，eviews做，R语言也可以不过我不会用。模 ...2018-7-23 07:49 - 莫学庞涓怯孙膑0 - winbugs及其他软件专版

The Volatility and Density Prediction Performance of Alternative GARCH Models
3 个回复 - 605 次查看【作者(必填)】 12 【文题(必填)】 The Volatility and Density Prediction Performance of Alternative GARCH Models[/backcolor]【年份(必填)】 201 【全文链接或数据库名称(选填)】 http://xueshu.baidu.co ...2020-2-21 17:22 - internet.hzx - 求助成功区

Contagion determination via copula and volatility threshold models
1 个回复 - 411 次查看【作者(必填)】 232 【文题(必填)】 Contagion determination via copula[/backcolor] and volatility threshold models 【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi ...2020-1-9 23:05 - internet.hzx - 求助成功区

求Efficient trinomial trees for local‐volatility models in pricing
3 个回复 - 353 次查看【作者(必填)】Lok U H, Lyuu Y D. 【文题(必填)】 Efficient trinomial trees for local‐volatility models in pricing double‐barrier options 【年份(必填)】2019 【全文链接或数据库名称(选填)】http ...2019-12-10 09:10 - 地下爆菊 - 求助成功区

Pricing volatility swaps in the Heston’s stochastic volatility model with regim
1 个回复 - 413 次查看【作者(必填)】Mengzhe Zhang[/backcolor] and Leunglung Chan[/backcolor] 【文题(必填)】Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint a ...2019-11-10 20:49 - Alicefree - 求助成功区

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonline
1 个回复 - 731 次查看【作者(必填)】Giuseppe Buccheri, Fulvio Corsi 【文题(必填)】HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies 【年份(必填)】2019 【全文链接或数据库 ...2019-10-9 06:47 - hnhs100 - 求助成功区

正版英文电子书handbook of volatility models and their applications
7 个回复 - 1015 次查看 2019-4-21 10:22 - Naodaihuang - 投资人（实务版）

A Permanent and Transitory Component Model of Stock Return Volatility
0 个回复 - 648 次查看【作者(必填)】Engle, R.F. and Lee, G.J 【文题(必填)】 A Permanent and Transitory Component Model of Stock Return Volatility 【年份(必填)】1999 【全文链接或数据库名称(选填)】https://papers.ssr ...2019-7-11 02:00 - wangdali - 文献求助专区

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
3 个回复 - 743 次查看【作者(必填)】 Jeremias Bekierman Bastian Gribisch 【文题(必填)】A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns 【年份(必填)】 2019 【全文链接或数据库名称(选填)】 ...2019-6-28 15:05 - hnhs100 - 求助成功区

Alternative models for conditional stock volatility
1 个回复 - 339 次查看【作者(必填)】 23 【文题(必填)】 Alternative models for conditional stock volatility【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/pii/0304407690901 ...2019-6-15 10:33 - internet.hzx - 求助成功区

Evaluation of volatility models for forecasting Value-at-Risk and Expected Short
1 个回复 - 344 次查看【作者(必填)】 23 【文题(必填)】 Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market【年份(必填)】 23 【全文链接或数据库名称(选填)】 ...2019-5-3 12:52 - internet.hzx - 求助成功区

Bayesian Analysis of a Threshold Stochastic Volatility Model
1 个回复 - 489 次查看【作者(必填)】Tony S. Wirjanto[/backcolor] Adam W. Kolkiewicz[/backcolor] Zhongxian Men[/backcolor] 【文题(必填)】Bayesian Analysis of a Threshold Stochastic Volatility Model 【年份(必填)】 ...2019-4-13 18:24 - hnhs100 - 求助成功区

Time-Varing Parameter VAR Model with Stochastic Volatility
2 个回复 - 2216 次查看【作者(必填)】 Raphael Franck, Noel D. Johnson 【文题(必填)】 Time-Varing Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications. 【年份(必填)】 201 ...2017-2-19 13:39 - shanxianmin2011 - 求助成功区

A geographical model for the daily and weekly seasonal volatility ...
5 个回复 - 520 次查看【作者(必填)】 Michael M.Dacorogna[/backcolor] [/backcolor]Ulrich A.Müller[/backcolor] [/backcolor]Robert J.Nagler[/backcolor] [/backcolor]Richard B.Olsen[/backcolor] [/backcolor]Olivier V.[/backcol ...2019-1-2 06:18 - leosong - 求助成功区

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Applica
5 个回复 - 573 次查看【作者(必填)】 Joshua C. C. Chan[/backcolor] 【文题(必填)】 The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling【年份(必填)】 2017 【全文链接 ...2017-6-15 09:48 - internet.hzx - 求助成功区

求Dynamic Models for Volatility and Heavy Tails
1 个回复 - 1304 次查看【作者(必填)】 Andrew C. Harvey 【文题(必填)】 Dynamic Models for Volatility and Heavy Tails 【年份(必填)】 2013 【全文链接或数据库名称(选填)】 http://ebooks.cambridge.org/ebook.jsf?bid=CBO9 ...2014-3-10 11:39 - waterup - 文献求助专区

Modelling Financial Risks. Fat Tails, Volatility Clustering and Copulae
3 个回复 - 1785 次查看【作者(必填)】Bernhard Pfaff 【文题(必填)】Modelling Financial Risks. Fat Tails, Volatility Clustering and Copulae 【年份(必填)】2010 【全文链接或数据库名称(选填)】2013-11-22 15:26 - lipj - 求助成功区

Basic Option Volatility Strategies: Understanding Popular Pricing Models
16 个回复 - 778 次查看 English | April 14, 2009 | ISBN: 159280344X | EPUB | 176 pages Now you can learn directly from Sheldon Natenberg! In thisunique multimedia course, Natenberg will explain the most popularoption pric ...2018-11-16 10:16 - igs816 - 经管书评

WinBUGS for A Bayesian Analysis of Stochastic Volatility Models
18 个回复 - 1960 次查看 SummaryThis paper reviews the general Bayesian approach to parameter estimationin stochastic volatility models with posterior computations performed byGibbs sampling. The main purpose is to illustrate ...2016-5-22 23:23 - Nicolle - winbugs及其他软件专版

An empirical model of volatility of returns and option pricing
1 个回复 - 582 次查看【作者(必填)】 Joseph L.McCauleya[/backcolor]Gemunu H.[/backcolor] 【文题(必填)】 An empirical model of volatility of returns and option pricing【年份(必填)】 Physica A: Statistical Mechanics and ...2018-11-2 23:28 - leosong - 求助成功区

Financial volatility modeling: The feedback asymmetric conditional autoregressiv
1 个回复 - 372 次查看【作者(必填)】Haibin Xie 【文题(必填)】Financial volatility modeling: The feedback asymmetric conditional autoregressive range model 【年份(必填)】2018 【全文链接或数据库名称(选填)】https://onl ...2018-10-17 17:36 - hnhs100 - 求助成功区

求 Modeling and predicting historical volatility in exchange rate markets
1 个回复 - 472 次查看【作者(必填)】SalimLahmiri 【文题(必填)】Modeling and predicting historical volatility in exchange rate markets[/backcolor] 【年份(必填)】2017 【全文链接或数据库名称(选填)】https://www.scienc ...2018-9-12 12:23 - yangboli_qt - 求助成功区

[分享] Handbook of Volatility Models and Their Applications 完整版
20 个回复 - 5728 次查看 Handbook of Volatility Models and Their Applications 作者，Luc Bauwens, Christian Hafner, Sebastien Laurent amazon 介绍：http://www.amazon.com/Volatility-Applications-Handbooks-Engineering-Econo ...2012-5-2 07:10 - acgshowoz - 金融工程（数量金融）与金融衍生品

Local Volatility Pricing Models for Long-Dated FX Derivatives
3 个回复 - 852 次查看【作者(必填)】Griselda Deelstra, and Griselda Deelstra 【文题(必填)】Local Volatility Pricing Models for Long-Dated FX Derivatives 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://www. ...2018-2-5 22:01 - Bumboo - 求助成功区

No news is good news: An asymmetric model of changing volatility in stock return
1 个回复 - 447 次查看【作者(必填)】John Y.CampbellLudgerHentschel 【文题(必填)】No news is good news: An asymmetric model of changing volatility in stock returns 【年份(必填)】1992 【全文链接或数据库名称(选填)】htt ...2018-4-8 12:30 - blueskyy - 求助成功区

A multivariate stochastic volatility model with applications
6 个回复 - 876 次查看【作者(必填)】Marcos EscobarChristoph Gschnaidtner 【文题(必填)】A multivariate stochastic volatility model with applications in the foreign exchange market 【年份(必填)】2018 【全文链接或数据库 ...2018-3-27 11:28 - exuan1991 - 求助成功区

Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics
3 个回复 - 2442 次查看 This monograph is based on my Ph.D. thesis, which was accepted in Jan- uary 2004 by the faculty of economics at the University of Augsburg. It is a great pleasure to thank my supervisor, Prof. Dr. Man ...2015-7-5 22:08 - nelsoncwlee - 金融学（理论版）

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
1 个回复 - 1330 次查看【作者(必填)】Anthonie van der Stoep[/backcolor]Lech A. Grzelak[/backcolor]Cornelis W. Oosterlee[/backcolor] 【文题(必填)】 The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simula ...2018-1-28 20:12 - Bumboo - 求助成功区

Financial Models with Levy Processes and Volatility Clustering
6 个回复 - 2759 次查看书名：Financial Models with Levy Processes and Volatility Clustering 作者：Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi CFA 等著出版社：Wiley 出版时间：2011-0 ...2013-6-13 20:40 - hiderm - 金融学（理论版）

【英文文献求助】No news is good news: An asymmetric model of changing volatility
5 个回复 - 856 次查看【作者(必填)】Campbell, John Y., and Ludger Hentschel 【文题(必填)】No news is good news: An asymmetric model of changing volatility in stock returns 【年份(必填)】Journal of Financial Economics ...2018-1-5 12:22 - greenbean - 求助成功区

求新书 Stochastic Volatility Modeling by Lorenzo Bergomi
2 个回复 - 3169 次查看作者大牛- Risk’s 2009 Quant of the YearPacked with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of ...2016-7-26 10:11 - train2k - 金融工程（数量金融）与金融衍生品

Pricing double barrier options under a volatility regime-switching model with ps
1 个回复 - 783 次查看【作者(必填)】Shiyu SongEmail author[/backcolor]Yongjin Wang 【文题(必填)】Pricing double barrier options under a volatility regime-switching model with psychological barriers 【年份(必填)】Review ...2017-12-10 15:19 - ssylzz - 求助成功区

【独家发布】Stochastic Volatility Model
14 个回复 - 12132 次查看 Black Scholes 中对于波动率为常数的假设使得BS模型不是self consistent。因为volatility smile 的出现使得BS模型在hedging以及pricing 多strike的exotic option方面显得有所不足。因此人们开始探索新的模型。其中较 ...2013-5-30 23:27 - Chemist_MZ - 休闲灌水

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rate
2 个回复 - 751 次查看【作者(必填)】 Lech A. Grzelakab* & Cornelis W. Oosterleeac 【文题(必填)】 On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 【年份(必填)】 Volume 19, Issue 1, 20 ...2014-5-9 08:12 - sqq19860225 - 求助成功区

Pricing of foreign exchange options under the Heston stochastic volatility model
2 个回复 - 1093 次查看【作者(必填)】 REHEZ AHLIPa & MAREK RUTKOWSKIb* 【文题(必填)】 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates 【年份(必填)】 Volume 13, Is ...2014-5-9 08:10 - sqq19860225 - 求助成功区

Options Pricing Models and Volatility Using Excel-VBA随书光盘
16 个回复 - 7999 次查看随书光盘下载。包含各章的Excel文件。 Content Each chapter of the book includes its own set of Excel files, which are contained in sub-directories named according to the chapter in which the file is d ...2010-6-19 23:14 - rensf63 - 金融学（理论版）

interest derivatives explained - term structure and volatility modelling (2017)
4 个回复 - 990 次查看 interest derivatives explained, vol. 2 - term structure and volatility modelling (2017) (.pdf)2017-11-16 07:44 - loneshark - 投资人（实务版）

GMM estimation of a realized stochastic volatility model: A Monte Carlo study
1 个回复 - 676 次查看【作者(必填)】Pierre Chaussé[/backcolor] &Dinghai Xu[/backcolor] 【文题(必填)】GMM estimation of a realized stochastic volatility model: A Monte Carlo study 【年份(必填)】2016 【全文链接或数据 ...2017-10-20 09:20 - hnhs100 - 求助成功区

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk
3 个回复 - 449 次查看【作者(必填)】Leopoldo Catania 【文题(必填)】Dynamic Adaptive Mixture Models with an Application to Volatility and Risk 【年份(必填)】2019 【全文链接或数据库名称(选填)】https://academic.oup.com ...2019-10-9 14:54 - hnhs100 - 求助成功区

求：Impulse Response Function for Conditional Volatility in GARCH Models
2 个回复 - 695 次查看题目：Impulse Response Function for Conditional Volatility in GARCH Models 作者：Wen-Ling Lin 期刊：Journal of Business & Economic Statistics Volume 15, 1997 - Issue 1 连接：http://www.tandfonline ...2017-8-27 08:05 - daodaory - 悬赏大厅

On the Curvature of the Smile in Stochastic Volatility Models
2 个回复 - 1382 次查看【作者(必填)】Elisa Alòs and Jorge A. León 【文题(必填)】On the Curvature of the Smile in Stochastic Volatility Models 【年份(必填)】2017 【全文链接或数据库名称(选填)】http://epubs.siam.o ...2017-8-18 16:37 - crossbone254 - 求助成功区

求Basic Option Volatility Strategies: Understanding Popular Pricing Models
3 个回复 - 1118 次查看 Basic Option Volatility Strategies: Understanding Popular Pricing Models (Wiley Trading) Paperback by Sheldon Natenberg (Author)2014-2-11 16:35 - 鲛人泣月 - 悬赏大厅

Component-wise Representations of Long-memory Models and Volatility Prediction
2 个回复 - 949 次查看【作者(必填)】Tommaso Proietti 【文题(必填)】Component-wise Representations of Long-memory Models and Volatility Prediction 【年份(必填)】2016 【全文链接或数据库名称(选填)】http://jfec.oxfordjo ...2016-6-23 16:58 - hnhs100 - 求助成功区

On the Observed-Data Deviance Information Criterion for Volatility Modeling
2 个回复 - 714 次查看【作者(必填)】Joshua C. C. Chan and Angelia L. Grant 【文题(必填)】On the Observed-Data Deviance Information Criterion for Volatility Modeling 【年份(必填)】2016 【全文链接或数据库名称(选填)】 ...2016-6-23 16:54 - hnhs100 - 求助成功区

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
1 个回复 - 653 次查看【作者(必填)】BIN CHEN, CORNELIS W. OOSTERLEE, and HANS VAN DER WEIDE 【文题(必填)】A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL[/backcolor] 【年份(必填)】2012 【全文 ...2017-5-24 16:20 - Bumboo - 求助成功区

Structural Breaks and Garch Models of Exchange Rate Volatility
1 个回复 - 899 次查看【作者(必填)】David E. Rapach and Jack K. Strauss 【文题(必填)】Structural Breaks and Garch Models of Exchange Rate Volatility 【年份(必填)】2008 【全文链接或数据库名称(选填)】2017-4-20 21:47 - 豁达统计人 - 求助成功区

Bayesian Analysis of Stochastic Volatility Models
4 个回复 - 778 次查看【作者(必填)】Eric Jacquier, Nicholas G. Polson and Peter E. Rossi 【文题(必填)】Bayesian Analysis of Stochastic Volatility Models 【年份(必填)】Vol. 12, No. 4 (Oct., 1994), pp. 371-389 【全文链 ...2017-4-19 19:36 - hnhs100 - 求助成功区

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2 个回复 - 705 次查看【作者(必填)】Bayraktar, Erhan, and H. Vincent Poor 【文题(必填)】Arbitrage in fractal modulated Black–Scholes models when the volatility is stochastic 【年份(必填)】2005 【全文链接或数据库名 ...2017-1-5 21:17 - weilinhy - 求助成功区

Interest rate models enhanced with local volatility
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The forward smile in local–stochastic volatility models
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Pricing vulnerable options under a stochastic volatility model
2 个回复 - 928 次查看【作者(必填)】Sung-Jin Yang , Min-Ku Lee , Jeong-Hoon Kim 【文题(必填)】Pricing vulnerable options under a stochastic volatility model 【年份(必填)】2014 【全文链接或数据库名称(选填)】http:// ...2015-6-18 19:11 - lipj - 求助成功区

modeling implied volatility surface
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Modeling the Dependence of Conditional Correlations on Market Volatility
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Exponential GARCH Modeling With Realized Measures of Volatility
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Forecasting Stock Market Volatility with Regime-Switching GARCH Models
15 个回复 - 1739 次查看【作者(必填)】Juri Marcucci 【文题(必填)】Forecasting Stock Market Volatility with Regime-Switching GARCH Models 【年份(必填)】2005 【全文链接或数据库名称(选填)】https://www.degruyter.com/vie ...2016-12-18 15:01 - runman - 求助成功区

【Case Study】Stochastic Volatility Model using PyMC3
12 个回复 - 2128 次查看 Asset prices have time-varying volatility (variance of day over day returns). In some periods, returns are highly variable, while in others very stable. Stochastic volatility models model this with a ...2016-12-12 09:28 - Nicolle - winbugs及其他软件专版

Simple and efficient simulation of the Heston stochastic volatility model
2 个回复 - 1044 次查看【作者(必填)】 Andersen, Leif 【文题(必填)】 Simple and efficient simulation of the Heston stochastic volatility model 【年份(必填)】 2008 【全文链接或数据库名称(选填)】 Journal of Computation ...2016-11-28 19:39 - Bumboo - 求助成功区

求 Extracting model-free volatility from option prices: An examination of the VI
5 个回复 - 732 次查看【作者(必填)】Jiang G J, Tian Y S. 【文题(必填)】 Extracting model-free volatility from option prices: An examination of the VIX index 【年份(必填)】2007 【全文链接或数据库名称(选填)】 Journa ...2016-11-19 09:16 - weilinhy - 求助成功区

求Maximum likelihood estimation of the Heston stochastic volatility model using
8 个回复 - 1184 次查看【作者(必填)】Francesca MarianiGraziella PacelliFrancesco Zirilli 【文题(必填)】Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application ...2016-10-17 19:53 - weilinhy - 求助成功区

求 Time-varying volatility asymmetry: a conditioned HAR-RV (CJ) EGARCH-M model
5 个回复 - 1267 次查看【作者(必填)】Ceylan Ö. 【文题(必填)】 Time-varying volatility asymmetry: a conditioned HAR-RV (CJ) EGARCH-M model[J] 【年份(必填)】2014 【全文链接或数据库名称(选填)】. The Journal of Ri ...2016-10-12 22:55 - weilinhy - 求助成功区

A General Asymptotic Implied Volatility for Stochastic Volatility Models
0 个回复 - 860 次查看 In this paper, we derive a general asymptotic implied volatility atthe first-order for any stochastic volatility model using the heat kernel expansionon a Riemann manifold endowed with an Abelian conn ...2016-9-14 03:53 - standatw - 灌水吧

求Maximum likelihood estimation of the Heston stochastic volatility model using
2 个回复 - 831 次查看【作者(必填)】Francesca Mariani[/backcolor], Graziella Pacelli[/backcolor], Francesco Zirilli[/backcolor] 【文题(必填)】Maximum likelihood estimation of the Heston stochastic volatility model using ...2016-9-4 11:55 - weilinhy - 求助成功区

VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WE
1 个回复 - 867 次查看【作者(必填)】【文题(必填)】VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES 【年份(必填)】EVA LüTKEBOHMERT and LYDIENNE MATCHIE 【全 ...2014-10-27 22:32 - ssylzz - 求助成功区

Modeling the Dependence of Conditional Correlations on Market Volatility
2 个回复 - 699 次查看【作者(必填)】 Luc Bauwensa & Edoardo Otrantob 【文题(必填)】 Modeling the Dependence of Conditional Correlations on Market Volatility【年份(必填)】 2006 【全文链接或数据库名称(选填)】http://www. ...2016-7-20 12:05 - internet.hzx - 求助成功区

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