Stochastic Volatility And Jumps
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Author | : Katja Ignatieva |
Publisher | : |
Total Pages | : 42 |
Release | : 2009 |
Genre | : |
ISBN | : |
This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference to estimate model parameters and latent variables using daily returns from the Samp;P 500 stock index. There are two approaches to overcome the problem of misspecification of the square root stochastic volatility model. The first approach proposed by Christo ersen, Jacobs and Mimouni (2008) suggests to investigate some non-affine alternatives of the volatility process. The second approach consists in examining more heavily parametrized models by adding jumps to the return and possibly to the volatility process. The aim of this paper is to combine both model frameworks and to test whether the class of affine models is outperformed by the class of non-affine models if we include jumps into the stochastic processes. We conclude that the non-affine model structure have promising statistical properties and are worth further investigations. Further, we find affine models with jump components that perform similar to the non affine models without jump components. Since non affine models yield economically unrealistic parameter estimates, and research is rather developed for the affine model structures we have a tendency to prefer the affine jump diffusion models.
Author | : Lorenzo Bergomi |
Publisher | : CRC Press |
Total Pages | : 520 |
Release | : 2015-12-16 |
Genre | : Business & Economics |
ISBN | : 1482244071 |
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author | : CIRANO. |
Publisher | : Montréal : CIRANO |
Total Pages | : 35 |
Release | : 1999 |
Genre | : |
ISBN | : |
Author | : Paul Glasserman |
Publisher | : Springer Science & Business Media |
Total Pages | : 603 |
Release | : 2013-03-09 |
Genre | : Mathematics |
ISBN | : 0387216170 |
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Author | : Ke Chen (Economist) |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a framework of stochastic volatility with stochastic jump intensity. The proposed model considers jump intensity as an extra factor which is driven by realized jumps, in addition to a stochastic volatility model. The results provide strong evidence of multiple factors in the market and show how they drive the variance risk premium. Thirdly, the thesis uses the proposed models to price options on equity and VIX consistently. Based on calibrated model parameters, the thesis shows how to calculate the unconditional correlation of VIX future between different maturities.
Author | : Jonas Kau |
Publisher | : |
Total Pages | : 163 |
Release | : 2009 |
Genre | : |
ISBN | : |
Author | : Kyriakos M. Chourdakis |
Publisher | : |
Total Pages | : 45 |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Wei Wei |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Author | : Peter Tankov |
Publisher | : CRC Press |
Total Pages | : 552 |
Release | : 2003-12-30 |
Genre | : Business & Economics |
ISBN | : 1135437947 |
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author | : Ravikumar Balasubramanian |
Publisher | : |
Total Pages | : 358 |
Release | : 1998 |
Genre | : Interest rates |
ISBN | : |