Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.
A 15-Factor Heath, Jarrow, And Morton Stochastic Volatility Model For The United Kingdom Government Bond Yield Curve, Using Daily Data From January 2, 1979 Through November 30, 2021 Jan. 06, 2022 2:10 ...
Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...
Donald R. van Deventer is a Managing Director in the Center for Applied Quantitative Finance at SAS Institute, Inc. Prior to the acquisition of Kamakura Corporation by SAS on June 24, 2022, Dr. van ...
Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...
This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the ...
It shows the schematic of the physics-informed neural network algorithm for pricing European options under the Heston model. The market price of risk is taken to be λ=0. Automatic differentiation is ...
We consider a p-dimensional time series where the dimension p increases with the sample size n. The resulting data matrix X follows a stochastic volatility model: each entry consists of a positive ...
The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback