搜索结果: 16-30 共查到“理论经济学 volatility”相关记录92条 . 查询时间(0.125 秒)
Approximating stochastic volatility by recombinant trees
American options stochastic volatility Heston model correlated random walk
2012/6/5
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting...
The fractional volatility model: No-arbitrage, leverage and completeness
Fractional noise Arbitrage Incomplete market
2012/6/4
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Maximum likelihood approach for several stochastic volatility models
Maximum likelihood approach several stochastic volatility models Computational Finance
2012/4/28
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Treasury Bond Volatility and Uncertainty about Monetary Policy
macroeconomic factors monetary policy survey data
2011/8/21
We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasu...
Fund Flow Volatility and Performance
Open-end mutual funds performance differences cash holdings
2011/8/21
This paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flow...
Implied Volatility Surface: Construction Methodologies and Characteristics
Heston model and its extensions Carr and Wu approach Arbitrage-free algorithms
2011/7/19
The implied volatility surface (IVS) is a fundamental building block in computational finance.We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which ...
Volatility of Power Grids under Real-Time Pricing
Real-Time Pricing Volatility Lyapunov Analysis
2011/7/5
The paper proposes a framework for modeling and
analysis of the dynamics of supply, demand, and clearing prices
in power system with real-time retail pricing and information
asymmetry. Real-time re...
Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...
Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeli...
Volatility of agrarian markets aimed at the price development
world prices volatility supply demand agri-food commodities
2014/2/27
Significant price volatility has been observed at the world agri-food markets in these latter years. It has been caused by the triggers of the so-called market shocks that negatively influenced the st...
The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volati...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...