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Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
We propose a class of equity models whose volatility, L磂vy measure, and killing rate all have local stochastic state-dependence. In this framework we find a closed form solution for the price of any E...
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
For any exponential L磂vy model whose diffusion component isnonzero, we provide an exact series representation for the implied volatility of a European call option. Numerical examples are provided.
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today’s volatility can be expressed as a gen...
Agents' heterogeneity has been recognized as a driver mechanism for the persistence of nancial volatility. We focus on the multiplicity of investment strategies' horizons;we embed this concept in a c...
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...
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...
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...
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...

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