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Revealing the arcane: an introduction to the art of stochastic volatility models

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  • Tsyplakov, Alexander

Abstract

This essay is aimed to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews the important related concepts, gives informal derivations of the methods and can be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework and discrete-time formulations.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 25511.

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Date of creation: 28 Sep 2010
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Handle: RePEc:pra:mprapa:25511

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Keywords: stochastic volatility;

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