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【随机波动性模型，金融数学】 Stochastic Volatility Modeling (2016) by L. Bergomi
85 个回复 - 17197 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）

Sample quantile analysis for long-memory stochastic volatility models
1 个回复 - 872 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 - 955 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

A Stochastic Volatility Model With a General Leverage Specification
1 个回复 - 630 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 - 572 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

免費 A Stochastic Volatility LIBOR Market Model with a closed form solution
8 个回复 - 3097 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）

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
3 个回复 - 758 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

Bayesian Analysis of a Threshold Stochastic Volatility Model
1 个回复 - 500 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 - 2256 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

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Applica
5 个回复 - 591 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

SV Model, Stochastic volatility model, 随机波动率模型， stata, eviews, OxMetrics
6 个回复 - 4546 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

Pricing volatility swaps in the Heston’s stochastic volatility model with regim
1 个回复 - 424 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

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

A multivariate stochastic volatility model with applications
6 个回复 - 903 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 - 2471 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 - 1358 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

求新书 Stochastic Volatility Modeling by Lorenzo Bergomi
2 个回复 - 3246 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

【独家发布】Stochastic Volatility Model
14 个回复 - 12242 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 - 766 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 - 1109 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

GMM estimation of a realized stochastic volatility model: A Monte Carlo study
1 个回复 - 701 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

On the Curvature of the Smile in Stochastic Volatility Models
2 个回复 - 1416 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

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
1 个回复 - 669 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

Bayesian Analysis of Stochastic Volatility Models
4 个回复 - 791 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

Stochastic volatility model with time-dependent skew
1 个回复 - 784 次查看【作者(必填)】Piterbarg, V. 【文题(必填)】 stochastic volatility model with time-dependent skew 【年份(必填)】 2005 【全文链接或数据库名称(选填)】Applied Mathematical Finance 12, 147-185.2017-1-30 19:52 - Bumboo - 求助成功区

The forward smile in local–stochastic volatility models
1 个回复 - 749 次查看【作者(必填)】Andrea Mazzon and Andrea Pascucci 【文题(必填)】The forward smile in local–stochastic volatility models 【年份(必填)】2017 【全文链接或数据库名称(选填)】Journal of Computational ...2017-1-18 16:05 - Bumboo - 文献求助专区

Pricing vulnerable options under a stochastic volatility model
2 个回复 - 942 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

【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 - 1060 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Maximum likelihood estimation of the Heston stochastic volatility model using
8 个回复 - 1203 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

A General Asymptotic Implied Volatility for Stochastic Volatility Models
0 个回复 - 880 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 - 840 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 - 881 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

Estimating the Parameters of Stochastic Volatility Models Using Option Price Dat
1 个回复 - 841 次查看【作者(必填)】A. S. Hurna, K. A. Lindsaya & A. J. McClellandb 【文题(必填)】Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 【年份(必填)】 2015 【全文链接或数据库 ...2016-7-16 18:08 - hnhs100 - 求助成功区

Pricing Geometric Averaging Asian Call Option Under Stochastic Volatility Model
0 个回复 - 929 次查看【作者(必填)】Li, Pengshi; Yang, Jianhui 【文题(必填)】Pricing Geometric Averaging Asian Call Option Under Stochastic Volatility Model 【年份(必填)】2016 【全文链接或数据库名称(选填)】http:// ...2016-7-13 15:23 - lipj - 文献求助专区

Calibrating and Pricing with a Stochastic-Local Volatility Model
4 个回复 - 1246 次查看【作者(必填)】Tian, Zhu, Lee, Klebaner, Hamza 【文题(必填)】Calibrating and Pricing with a Stochastic-Local Volatility Model 【年份(必填)】2015 【全文链接或数据库名称(选填)】Journal of Derivati ...2016-6-29 16:28 - Bumboo - 文献求助专区

A Stochastic Volatility Model With Conditional Skewness
3 个回复 - 975 次查看【作者(必填)】 Bruno Feunoua & Roméo Tédongapb 【文题(必填)】 A Stochastic Volatility Model With Conditional Skewness【年份(必填)】 2012 【全文链接或数据库名称(选填)】http://amstat.tandfonline ...2015-12-4 12:58 - internet.hzx - 求助成功区

A Stochastic Volatility Model With Conditional Skewness
2 个回复 - 603 次查看【作者(必填)】 Bruno Feunoua & Roméo Tédongapb 【文题(必填)】 A Stochastic Volatility Model With Conditional Skewness【年份(必填)】 2012 【全文链接或数据库名称(选填)】http://amstat.tandfonline. ...2016-4-7 18:57 - internet.hzx - 求助成功区

stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
0 个回复 - 1691 次查看 stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) ModelsThis package provides efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov cha ...2014-7-7 22:51 - Nicolle - winbugs及其他软件专版

Heavy-tailed-distributed threshold stochastic volatility models in financial
1 个回复 - 914 次查看【作者(必填)】Chen, C.W.S., Liu, F.C., So, M.K.P. 【文题(必填)】Heavy-tailed-distributed threshold stochastic volatility models in financial time series 【年份(必填)】2008 【全文链接或数据库名 ...2015-9-26 16:42 - 我来了 - 求助成功区

Calibrating and Pricing with a Stochastic-Local Volatility Model
2 个回复 - 1533 次查看【作者(必填)】Yu Tian, Zili Zhu, Geoffrey Lee, Fima Klebaner, and Kais Hamza 【文题(必填)】 Calibrating and Pricing with a Stochastic-Local Volatility Model 【年份(必填)】 Spring 2015, Vol. 22, ...2015-6-8 12:20 - ssylzz - 求助成功区

Pricing of geometric Asian options under Heston's stochastic volatility model
1 个回复 - 1058 次查看【作者(必填)】【文题(必填)】Pricing of geometric Asian options under Heston's stochastic volatility model 【年份(必填)】【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10.1080/ ...2015-6-10 04:29 - ssylzz - 求助成功区

VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS
2 个回复 - 857 次查看【作者(必填)】CH Han，WH Liu，TY Chen 【文题(必填)】VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS 【年份(必填)】2014 【全文链接或数据库名称(选填)】http://www.worldscientific.com/doi/ ...2015-5-13 12:31 - lipj - 求助成功区

求文献Maximum likelihood approach for several stochastic volatility models
2 个回复 - 660 次查看题目：Maximum likelihood approach for several stochastic volatility models 作者 Jordi Camprodon, Josep Perelló 发表日期 2012/8/1 期刊 Journal of Statistical Mechanics: Theory and Experime ...2015-3-12 23:25 - weilinhy - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and I
1 个回复 - 738 次查看【作者(必填)】【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 Volume 7, Is ...2015-2-8 00:53 - ssylzz - 求助成功区

McMC estimation of multiscale stochastic volatility models with applications
2 个回复 - 1088 次查看【作者(必填)Chuan-Hsiang Hana, 1, , , German Molinab, , Jean-Pierre Fouquec, 【文题(必填)】McMC estimation of multiscale stochastic volatility models with applications 【年份(必填)】2014 【全 ...2015-2-6 19:17 - lipj - 求助成功区

Analytical formulas for a local volatility model with stochastic rates
1 个回复 - 1098 次查看【作者(必填)】【文题(必填)】 Analytical formulas for a local volatility model with stochastic rates【年份(必填)】【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10.1080/1469768 ...2015-1-29 00:50 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and I
1 个回复 - 717 次查看【作者(必填)】【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】Mathematical F ...2015-1-14 11:29 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
3 个回复 - 1089 次查看【作者(必填)】Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 ...2015-1-11 19:26 - lipj - 求助成功区

文献求助:Complications with Stochastic Volatility Models
3 个回复 - 958 次查看【作者(必填)】Carlos A Sin. 【文题(必填)】Complications with Stochastic Volatility Models 【年份(必填)】1998 【全文链接或数据库名称(选填)】http://www.jstor.org/discover/10.2307/1427887?uid=37 ...2014-8-26 02:51 - Bumboo - 求助成功区

Bayesian analysis of stochastic volatility models with fat-tails
2 个回复 - 1224 次查看【作者(必填)】Joanna J.J. Wanga, , , Jennifer S.K. Chana, S.T. Boris Choyb 【文题(必填)】Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale m ...2014-7-22 16:51 - lipj - 求助成功区

Stochastic volatility model with regime-switching skewness
1 个回复 - 1106 次查看【作者(必填)】Jouchi Nakajima 【文题(必填)】Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns 【年份(必填)】2013 【全文链接或数据库名 ...2014-7-15 21:50 - lipj - 求助成功区

Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Tim
1 个回复 - 1023 次查看【作者(必填)】Cathy W. S. Chen†,*, F. C. Liu† and Mike K. P. So‡ 【文题(必填)】Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Time Series 【年份(必 ...2014-7-15 22:14 - lipj - 求助成功区

Mean-VAR Model with Stochastic Volatility
1 个回复 - 1152 次查看【作者(必填)】Hanen Ould Ali, Faouzi Jilani 【文题(必填)】Mean-VAR Model with Stochastic Volatility 【年份(必填)】2014 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/science/arti ...2014-7-15 22:15 - lipj - 求助成功区

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
1 个回复 - 1338 次查看【作者(必填)】Stephen J. Taylor† 【文题(必填)】MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY 【年份(必填)】2006 【全文链接或数据库名称(选填)】http://onlinelibrary.wiley ...2014-7-12 11:50 - lipj - 求助成功区

Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
3 个回复 - 1252 次查看【作者(必填)】Daniel R Smith 【文题(必填)】Asymmetry in Stochastic Volatility Models: Threshold or Correlation? 【年份(必填)】2009 【全文链接或数据库名称(选填)】http://www.degruyter.com/view/ ...2014-7-12 13:24 - lipj - 求助成功区

Modelling stochastic volatility using generalized t distribution
1 个回复 - 1088 次查看【作者(必填)】Joanna J.J. Wanga*, S. T. Boris Choyb & Jennifer S.K. Chana 【文题(必填)】Modelling stochastic volatility using generalized t distribution 【年份(必填)】2013 【全文链接或数据库 ...2014-7-12 11:43 - lipj - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
2 个回复 - 1149 次查看【作者(必填)】Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份(必填)】 ...2014-7-1 23:50 - lipj - 求助成功区

Stochastic Volatility Model with Jumps in Returns and Volatility: Performance an
3 个回复 - 1022 次查看【作者(必填)】Numatsi, Adjoa K. 【文题(必填)】Stochastic Volatility Model with Jumps in Returns and Volatility: Performance and Implementation 【年份(必填)】2010 【全文链接或数据库名称(选填)】 ...2014-6-30 11:01 - lipj - 求助成功区

[Research Paper]BUGS for a Bayesian Analysis of Stochastic Volatility Models
3 个回复 - 1669 次查看 BUGS for a Bayesian Analysis of Stochastic Volatility Models Renate Meyer , Jun Yu AbstractThis paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models w ...2014-6-15 23:29 - Nicolle - winbugs及其他软件专版

[Research Paper]Multivariate Stochastic Volatility Models
0 个回复 - 1017 次查看 Multivariate Stochastic Volatility Models: Bayesian Estimation and Model ComparisonJun YuSingapore Management University, http://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1359&context=soe_r ...2014-6-15 09:57 - Nicolle - winbugs及其他软件专版

VaR/CVaR estimation under stochastic volatility models
3 个回复 - 690 次查看【作者(必填)】CHUAN-HSIANG HAN 【文题(必填)】VaR/CVaR estimation under stochastic volatility models 【年份(必填)】2014 【全文链接或数据库名称(选填)】http://www.worldscientific.com/doi/abs/10 ...2014-5-29 21:41 - lipj - 求助成功区

Pricing of foreign exchange options under the Heston stochastic volatility model
0 个回复 - 1801 次查看 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates REHEZ AHLIPa & MAREK RUTKOWSKIb* Accepted: 10 Jan 2013Published online: 16 May 2013Quantitati ...2014-5-8 19:25 - sqq19860225 - 论文版

求助Stochastic volatility model with regime-switching skewness
1 个回复 - 666 次查看题目：Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns 作者：Jouchi Nakajima 年份：2013 链接：http://www.degruyter.com/view/j/snde.2013.17 ...2014-4-18 09:25 - ywh19860616 - 求助成功区

Pricing vulnerable options under a stochastic volatility model
1 个回复 - 726 次查看【作者(必填)】Sung-Jin Yanga, , Min-Ku Leeb, , Jeong-Hoon Kima, , 【文题(必填)】Pricing vulnerable options under a stochastic volatility model 【年份(必填)】Applied Mathematics Letters Volum ...2014-4-3 19:04 - ssylzz - 求助成功区

Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
1 个回复 - 504 次查看【作者(必填)】 [*]Louis O. Scott 【文题(必填)】Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods 【年份( ...2014-2-20 15:53 - hnhs100 - 求助成功区

EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL
1 个回复 - 744 次查看【作者(必填)】Huyěn Pham1, Nizar Touzi2 【文题(必填)】EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL† 【年份(必填)】1996 【全文链接或数据库名称(选填)】http://onlinelibrary.w ...2013-11-27 13:26 - mcsyky - 求助成功区

New solvable stochastic volatility models for pricing volatility derivatives
1 个回复 - 821 次查看【作者(必填)】 [*]Andrey Itkin 【文题(必填)】New solvable stochastic volatility models for pricing volatility derivatives 【年份(必填)】Review of Derivatives Research July 2013, Volume 16, ...2013-9-16 20:53 - ssylzz - 求助成功区

Extended stochastic volatility models incorporating realised measures
1 个回复 - 645 次查看【作者(必填)】 [*]J.H. Venter, , [*]P.J. de Jongh 【文题(必填)】Extended stochastic volatility models incorporating realised measures 【年份(必填)】2012 【全文链接或数据库名称(选填)】http ...2013-8-3 22:26 - hnhs100 - 求助成功区

求指导Stochastic Volatility model！
2 个回复 - 1089 次查看最近在写论文..要求用到SV模型..但是没有看懂..求懂得的大神指导..我QQ号码是184728838..不胜感激!2013-7-27 04:17 - youly000 - 爱问频道

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model
2 个回复 - 1301 次查看【作者(必填)】ALEXANDER VAN HAASTRECHT and ANTOON PELSSER 【文题(必填)】 fficient, Almost Exact Simulation of the Heston Stochastic Volatility Model 【年份(必填)】2010 International Journal of ...2013-7-5 07:34 - johnzi0128 - 求助成功区

Moving average stochastic volatility models with application to inflation foreca
1 个回复 - 1329 次查看【作者(必填)】Joshua C.C. Chan 【文题(必填)】Moving average stochastic volatility models with application to inflation forecast 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://www.scien ...2013-6-25 20:55 - hnhs100 - 求助成功区

Estimating stochastic volatility models using daily returns and realized volatil
1 个回复 - 855 次查看【作者(必填)】 [*]Makoto Takahashia, [*]Yasuhiro Omorib, [*]Toshiaki Watanabec, 【文题(必填)】Estimating stochastic volatility models using daily returns and realized volatility simultaneously ...2013-6-24 07:53 - hnhs100 - 求助成功区

Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory an
0 个回复 - 739 次查看【作者(必填)】 Mthuli Ncube (Author), Sambulo Malumisa (Author) 【文题(必填)】Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory and Estimation for Various Asset Classes ...2013-6-15 13:43 - johnzi0128 - 文献求助专区

OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL†
1 个回复 - 799 次查看多谢各位大侠!! 【作者(必填)】Eric Renault1, Nizar Touzi2 【文题(必填)】OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL† 【年份(必填)】1996 【全文链接或数据库 ...2013-5-1 14:43 - mcsyky - 求助成功区

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
1 个回复 - 939 次查看多谢各位大侠!! 【作者(必填)】Stephen J. Taylor[/backcolor]† 【文题(必填)】MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY 【年份(必填)】1994 【全文链接或数据库名称(选填 ...2013-5-1 14:34 - mcsyky - 求助成功区

求助:MSSV用什么软件估计？Markov switching stochastic volatility model
11 个回复 - 5119 次查看请问各位前辈 Markov switching stochastic volatility model 用什么软件估计呀？2010-6-4 13:50 - frilin1001 - 计量经济学与统计软件

A New Bayesian Unit Root Test in Stochastic Volatility Models
1 个回复 - 891 次查看 A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li ...2012-8-14 17:12 - shasha101955 - EViews专版

[下载]BUGS for a Bayesian Analysis of Stochastic Volatility Models
4 个回复 - 3687 次查看 BUGS for a Bayesian Analysis of Stochastic Volatility Models,提供给大家交流！！<br/>2008-12-21 18:53 - qh006 - 计量经济学与统计软件

[下载]Analytical comparisons of option prices in stochastic volatility models
2 个回复 - 2463 次查看希望能加点钱,穷人寸步难行... [此贴子已经被作者于2005-7-3 5:28:53编辑过]2005-7-3 05:23 - woshinenji - 金融学（理论版）

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