1. Home
  2. Stochastic volatility
  Subject:

Stochastic volatility   New Search

View on DBpedia    View on Wikipedia
Top related subjects:
RELATED SUBJECTS:
The publications listed also have these subjects
Classical mechanics  3 times
Variance  2 times
Valuation of options  2 times
Monte Carlo method  2 times
Wiener process  1 time
Time series  1 time
Theorem  1 time
Stochastic process  1 time
Probability distribution  1 time
Polynomial  1 time
Phase transition  1 time
Partial differential equation  1 time
Maximum likelihood estimation  1 time
Markov chain  1 time
Log-normal distribution  1 time
Likelihood function  1 time
Finite difference method  1 time
Autoregressive conditional heteroskedasticity  1 time

Publications tagged with this subject: 12

Note: Top 50 publications shown only. Open an item panel to view more info (open all)


1. Towards the exact simulation using hyperbolic Brownian motion

2. Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall

3. VIX Forecast Under Different Volatility Specifications

4. Variance-Optimal Martingale Measures for Diffusion Processes with Stochastic Coefficients

5. Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model

6. A simple efficient approximation to price basket stock options with volatility smile

7. An analytical approximation for single barrier options under stochastic volatility models

8. Stochastic Filtering Methods in Electronic Trading

9. Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models

10. Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

11. Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model

12. Modelling and Calibration of Stochastic Correlation in Finance


Questions?

Drop us a message.