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Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)

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  • Alexander Tsyplakov

    (Novosibirsk State University, Russia)

Abstract

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

Suggested Citation

  • Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    • Handle: RePEc:qnt:quantl:y:2010:i:8:p:69-122
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    2. Maddalena Cavicchioli, 2017. "Estimation and asymptotic covariance matrix for stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 437-452, August.

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