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Double Gamma Stochastic Volatility Model In Discrete Time
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Book Synopsis Double Gamma Stochastic Volatility Model in Discrete Time by : Ali Hirsa
Download or read book Double Gamma Stochastic Volatility Model in Discrete Time written by Ali Hirsa and published by . This book was released on 2017 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an affine term structure framework we propose a discrete time stochastic volatility model. We derive the characteristic function of the log swap rate under swap measure. Having the characteristic function, we employ the Fourier cosine (COS) technique to price swaptions. Using data on tweleve years of swap rates and swaption premiums, model parameters are estimated using an unscented Kalman filter algorithm.
Book Synopsis Computational Methods in Finance by : Ali Hirsa
Download or read book Computational Methods in Finance written by Ali Hirsa and published by CRC Press. This book was released on 2024-08-30 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.
Book Synopsis Discrete Time Stochastic Volatility Model by : Guojing Tang
Download or read book Discrete Time Stochastic Volatility Model written by Guojing Tang and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Class of Discrete-Time Stochastic Volatility Model with Correlated Errors by : Sujay Mukhoti
Download or read book A New Class of Discrete-Time Stochastic Volatility Model with Correlated Errors written by Sujay Mukhoti and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SVMs have been proposed to adequately capture the defining features of the relationship between the return and its volatility. Among one of the earliest SVM, Taylor (1982) proposed a hierarchical model, where the current return is a function of the current latent volatility, which is further modeled as an auto-regressive process. In an attempt to make the SVMs more appropriate for complex realistic market behavior, a leverage parameter was introduced in the Taylor's SVM, which however led to the violation of the efficient market hypothesis (EMH, a necessary mean-zero condition for the return distribution that prevents arbitrage possibilities). Subsequently, a host of alternative SVMs had been developed and are currently in use. In this paper, we propose mean-corrections for several generalizations of Taylor's SVM that capture the complex market behavior as well as satisfy EMH. We also establish a few theoretical results to characterize the key desirable features of these models, and present comparison with other popular competitors. Furthermore, four real-life examples (Oil price, CITI bank stock price, Euro-USD rate, and S&P 500 index returns) have been used to demonstrate the performance of this new class of SVMs.
Book Synopsis Modeling Stochastic Volatility with Application to Stock Returns by : Mr.Noureddine Krichene
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Book Synopsis Volatility Bursts by : Francesca Lilla
Download or read book Volatility Bursts written by Francesca Lilla and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent factor which evolves according to the Autoregressive Gamma Zero process. A key advantage of the discrete-time specification is the possibility of estimating the model via the Extended Kalman Filter. Moreover, the VARG-B model leads to a fully analytic conditional Laplace transform which leads to a closed option pricing formula. When estimated on S&P500 index options and returns the new model provides more accurate option pricing and modelling of the IV surface with respect to some alternative models.
Book Synopsis Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference by : Nikolaus Hautsch
Download or read book Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference written by Nikolaus Hautsch and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inside Volatility Arbitrage by : Alireza Javaheri
Download or read book Inside Volatility Arbitrage written by Alireza Javaheri and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today?s traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility -- time series and financial econometrics -- in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.
Book Synopsis Gamma Expansion of the Heston Stochastic Volatility Model by : Paul Glasserman
Download or read book Gamma Expansion of the Heston Stochastic Volatility Model written by Paul Glasserman and published by . This book was released on 2011 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and mixtures of gamma random variables. The increments of the variance process are themselves mixtures of gamma random variables. The representation of the integrated conditional variance applies the Pitman-Yor decomposition of Bessel bridges. We combine this representation with the Broadie-Kaya exact simulation method and use it to circumvent the most time-consuming step in that method.
Book Synopsis Stochastic volatility, long-term option and discrete-time problems in FX by : Francois-Stephane Robert Mantion
Download or read book Stochastic volatility, long-term option and discrete-time problems in FX written by Francois-Stephane Robert Mantion and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Stochastic Volatility Model with Conditional Skewness by : Bruno Feunou
Download or read book A Stochastic Volatility Model with Conditional Skewness written by Bruno Feunou and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Models of Volatility Products and Exotic Variance Derivatives by : Yue Kuen Kwok
Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Book Synopsis Stochastic Volatility by : Neil Shephard
Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Book Synopsis Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model by : Mohammed Albuhayri
Download or read book Asymptotics of Implied Volatility in the Gatheral Double Stochastic Volatility Model written by Mohammed Albuhayri and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multiple Time Scales in Volatility and Leverage Correlations by : Josep Perelló
Download or read book Multiple Time Scales in Volatility and Leverage Correlations written by Josep Perelló and published by . This book was released on 2013 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or 'leverage') correlations that are much shorter ranged. Different stochastic volatility models have been proposed in the past to account for both these correlations. However, in these models, the decay of the correlations is exponential, with a single time scale for both the volatility and the leverage correlations, at variance with observations. We extend the linear Ornstein-Uhlenbeck stochastic volatility model by assuming that the mean reverting level is itself random. We find that the resulting three-dimensional diffusion process can account for different correlation time scales. We show that the results are in good agreement with a century of the Dow Jones index daily returns (1900-2000), with the exception of crash days.
Book Synopsis Handbook of Multi-Commodity Markets and Products by : Andrea Roncoroni
Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-19 with total page 1076 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
Book Synopsis On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model by : Susanne Griebsch
Download or read book On the Valuation of Fader and Discrete Barrier Options in Heston's Stochastic Volatility Model written by Susanne Griebsch and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
