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Complete Models with Stochastic Volatility

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Cited by:

  1. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
  2. Ankush Agarwal & Stefano de Marco & Emmanuel Gobet & Gang Liu, 2017. "Rare event simulation related to financial risks: efficient estimation and sensitivity analysis," Working Papers hal-01219616, HAL.
  3. Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.
  4. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
  5. Figa-Talamanca, Gianna & Guerra, Maria Letizia, 2006. "Fitting prices with a complete model," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 247-258, January.
  6. F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  7. Amr Abou-Senna & Boping Tian, 2022. "Almost Sure Exponential Stability of Numerical Solutions for Stochastic Pantograph Differential Equations with Poisson Jumps," Mathematics, MDPI, vol. 10(17), pages 1-18, September.
  8. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
  9. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
  10. Marcel Nutz & Andr'es Riveros Valdevenito, 2023. "On the Guyon-Lekeufack Volatility Model," Papers 2307.01319, arXiv.org.
  11. Peter K. Friz & Thomas Wagenhofer, 2023. "Reconstructing volatility: Pricing of index options under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 19-40, January.
  12. Jazaerli, Samy & F. Saporito, Yuri, 2017. "Functional Itô calculus, path-dependence and the computation of Greeks," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3997-4028.
  13. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
  14. Corradi, Valentina, 2000. "Reconsidering the continuous time limit of the GARCH(1, 1) process," Journal of Econometrics, Elsevier, vol. 96(1), pages 145-153, May.
  15. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
  16. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  17. Michel, Jon & de Jong, Robert M., 2019. "A model for level induced conditional heteroskedasticity," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 293-300.
  18. Gushchin, Alexander A. & Küchler, Uwe, 2004. "On oscillations of the geometric Brownian motion with time-delayed drift," Statistics & Probability Letters, Elsevier, vol. 70(1), pages 19-24, October.
  19. Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula II," Papers math/0604641, arXiv.org.
  20. John A. D. Appleby & John A. Daniels & Katja Krol, 2012. "A Black--Scholes Model with Long Memory," Papers 1202.5574, arXiv.org.
  21. David Hobson, 2004. "STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 537-556, October.
  22. Michel Vellekoop & Hans Nieuwenhuis, 2007. "On option pricing models in the presence of heavy tails," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 563-573.
  23. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
  24. Sekine, Jun, 2008. "Marginal distribution of some path-dependent stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1846-1850, September.
  25. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.
  26. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
  27. Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020. "A theoretical analysis of Guyon's toy volatility model," Papers 2001.05248, arXiv.org, revised Nov 2022.
  28. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011.
  29. Sotirios Sabanis, 2012. "A class of stochastic volatility models and the q -optimal martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1111-1117, February.
  30. Robert Kohn & Oana Papazoglu-Statescu, 2006. "On the equivalence of the static and dynamic asset allocation problems," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 173-183.
  31. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, University Library of Munich, Germany.
  32. Feng, Ling & Huang, Zhigang & Mao, Xuerong, 2016. "Mean percentage of returns for stock market linked savings accounts," Applied Mathematics and Computation, Elsevier, vol. 273(C), pages 1130-1147.
  33. Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
  34. Mercedes Arriojas & Yaozhong Hu & Salah-Eldin Mohammed & Gyula Pap, 2006. "A Delayed Black and Scholes Formula I," Papers math/0604640, arXiv.org.
  35. L. Lin & M. Schatz & D. Sornette, 2019. "A simple mechanism for financial bubbles: time-varying momentum horizon," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 937-959, June.
  36. Yang Wang & Xiao Xu & Jizhou Zhang, 2021. "Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model," Mathematics, MDPI, vol. 9(15), pages 1-15, July.
  37. Flavia Sancier & Salah Mohammed, 2017. "An Option Pricing Model with Memory," Papers 1709.00468, arXiv.org.
  38. Bruno Dupire & Valentin Tissot-Daguette, 2022. "Functional Expansions," Papers 2212.13628, arXiv.org, revised Mar 2023.
  39. Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
  40. Blei, Stefan & Engelbert, Hans-Jürgen, 2009. "On exponential local martingales associated with strong Markov continuous local martingales," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2859-2880, September.
  41. Pagliarani, S. & Pascucci, A. & Pignotti, M., 2017. "Intrinsic expansions for averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2560-2585.
  42. Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
  43. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, University Library of Munich, Germany.
  44. Guerra, Maria Letizia & Sorini, Laerte, 2005. "Testing robustness in calibration of stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 163(1), pages 145-153, May.
  45. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, December.
  46. Tak Siu, 2006. "Option Pricing Under Autoregressive Random Variance Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(2), pages 62-75.
  47. David Hobson, 2010. "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, vol. 14(1), pages 129-152, January.
  48. Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018. "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 151-165.
  49. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
  50. Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.
  51. Zhao, Hui & Rong, Ximin, 2012. "Portfolio selection problem with multiple risky assets under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 179-190.
  52. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, December.
  53. Liu, Linna & Mo, Haoyi & Deng, Feiqi, 2019. "Split-step theta method for stochastic delay integro-differential equations with mean square exponential stability," Applied Mathematics and Computation, Elsevier, vol. 353(C), pages 320-328.
  54. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  55. Archil Gulisashvili & Elias M. Stein, 2009. "Implied Volatility In The Hull–White Model," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 303-327, April.
  56. Huang, Wei & Goto, Satoru & Nakamura, Masatoshi, 2004. "Decision-making for stock trading based on trading probability by considering whole market movement," European Journal of Operational Research, Elsevier, vol. 157(1), pages 227-241, August.
  57. Kazmerchuk, Yuriy & Swishchuk, Anatoliy & Wu, Jianhong, 2007. "The pricing of options for securities markets with delayed response," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 69-79.
  58. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, vol. 81(Dec), pages 21-35.
  59. Trifi Amine, 2006. "Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-26, December.
  60. Alexander Lipton & Adil Reghai, 2023. "SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}," Papers 2302.08819, arXiv.org.
  61. Robert Tompkins, 2006. "Why Smiles Exist in Foreign Exchange Options Markets: Isolating Components of the Risk Neutral Process," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 583-603.
  62. Peter K. Friz & Thomas Wagenhofer, 2022. "Reconstructing Volatility: Pricing of Index Options under Rough Volatility," Papers 2212.07817, arXiv.org.
  63. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
  64. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  65. Zongwu Cai & Hongwei Mei & Rui Wang, 2023. "A Model Specification Test for Nonlinear Stochastic Diffusions with Delay," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202301, University of Kansas, Department of Economics, revised Jan 2023.
  66. Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney.
  67. Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany.
  68. Zilan Liu & Yijun Wang & Ya Huang & Jieming Zhou, 2022. "Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model," Mathematics, MDPI, vol. 10(7), pages 1-22, March.
  69. Moretto, Enrico & Pasquali, Sara & Trivellato, Barbara, 2016. "Option pricing under deformed Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 246-263.
  70. Buckwar, Evelyn & Shardlow, Tony, 2001. "Weak approximation of stochastic differential delay equations," SFB 373 Discussion Papers 2001,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  71. Valentin Tissot-Daguette, 2023. "Occupied Processes: Going with the Flow," Papers 2311.07936, arXiv.org, revised Dec 2023.
  72. Nairn McWilliams & Sotirios Sabanis, 2011. "Arithmetic Asian Options under Stochastic Delay Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(5), pages 423-446, February.
  73. Zhao, Hui & Rong, Ximin & Zhao, Yonggan, 2013. "Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 504-514.
  74. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
  75. Alexander Lipton, 2023. "Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results," Papers 2309.04547, arXiv.org.
  76. Emilio Barucci & Paul Malliavin & Maria Elvira Mancino & Roberto Renò & Anton Thalmaier, 2003. "The Price‐Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 17-35, January.
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