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Jumps And Stochastic Volatility
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Book Synopsis Jumps and Stochastic Volatility by : David S. Bates
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Book Synopsis Jumps and Stochastic Volatility by : David S. Bates
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on stochastic volatility/jump-diffusion processes under systematic jump and volatility risk. The parameters implicit in Deutschemark options of the model and various submodels are estimated over 1984-91 via nonlinear generalized least squares, and are tested for consistency with $/DM futures prices and the implicit volatility sample path. The stochastic volatility submodel cannot explain the quot;volatility smilequot; evidence of implicit excess kurtosis, except under parameters implausible given the time series properties of implicit volatilities. Jump fears can explain the smile, and are consistent with one 8% DM appreciation quot;outlierquot; observed over 1984-91.
Book Synopsis Stochastic Volatility Modeling by : Lorenzo Bergomi
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Book Synopsis Jumps and Stochastic Volatility by : David S. Bates
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Book Synopsis Stochastic Volatility and Jump Diffusion Option Pricing Model by : Aytekin Sari
Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis A New Class of Stochastic Volatility Models with Jumps : Theory and Estimation by : CIRANO.
Download or read book A New Class of Stochastic Volatility Models with Jumps : Theory and Estimation written by CIRANO. and published by Montréal : CIRANO. This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Volatility Models with Jumps and High Frequency Data by : Jonas Kau
Download or read book Stochastic Volatility Models with Jumps and High Frequency Data written by Jonas Kau and published by . This book was released on 2009 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Class of Stochastic Volatility Models with Jumps by : Mikhail Chernov
Download or read book A New Class of Stochastic Volatility Models with Jumps written by Mikhail Chernov and published by . This book was released on 2012 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focused primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several generalizations which can better accommodate several empirical features of returns data. In their most general form we introduce a class of processes which nests jump-diffusions previously considered in empirical work and includes the affine class of random intensity models studied by Bates (1998) and Duffie, Pan and Singleton (1998) but also allows for non-affine random intensity jump components. We attain the generality of our specification through a generic Levy process characterization of the jump component. The processes we introduce share the desirable feature with the affine class that they yield analytically tractable and explicit option pricing formula. The non-affine class of processes we study include specifications where the random intensity jump component depends on the size of the previous jump which represent an alternative to affine random intensity jump processes which feature correlation between the stochastic volatility and jump component. We also allow for and experiment with different empirical specifications of the jump size distributions. We use two types of data sets. One involves the Samp;P500 and the other comprises of 100 years of daily Dow Jones index. The former is a return series often used in the literature and allows us to compare our results with previous studies. The latter has the advantage to provide a long time series and enhances the possibility of estimating the jump component more precisely. The non-affine random intensity jump processes are more parsimonious than the affine class and appear to fit the data much better.
Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Book Synopsis Estimating Correlated Jumps and Stochastic Volatilities by : Jiří Witzany
Download or read book Estimating Correlated Jumps and Stochastic Volatilities written by Jiří Witzany and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on the two most important Czech domestic financial market time series of the FX (CZK/EUR) and stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model. -- jump-diffusion ; stochastic volatility ; MCMC ; Value at Risk ; Monte Carlo
Book Synopsis Option Pricing for a Stochastic-volatility Jump-diffusion Model by : Guoqing Yan
Download or read book Option Pricing for a Stochastic-volatility Jump-diffusion Model written by Guoqing Yan and published by . This book was released on 2006 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the accurate and fast European option pricing formulas, we calibrate the models to S&P 500 Index option quotes by least squares method. Spot variance and structural parameters for different models including Black-Scholes, Stochastic-Volatility. SVJD-Uniform, SVJD-Normal, SVJD-DbExp are estimated. Fitting performance of different models are compared and our proposed SVJD-Uniform model is found to fit the market data the best.
Book Synopsis A Jump-diffusion Model with Stochastic Volatility and Durations by : Wei Wei
Download or read book A Jump-diffusion Model with Stochastic Volatility and Durations written by Wei Wei and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Jump Diffusion and Stochastic Volatility Models in Securities Pricing by : Mthuli Ncube
Download or read book Jump Diffusion and Stochastic Volatility Models in Securities Pricing written by Mthuli Ncube and published by . This book was released on 2012 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Volatility Model with Jumps in Returns and Volatility by : Adjoa K. Numatsi
Download or read book Stochastic Volatility Model with Jumps in Returns and Volatility written by Adjoa K. Numatsi and published by . This book was released on 2010 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Analysis Of Stochastic Volatility Jump Diffusion Models by : Abdelilah Jraifi
Download or read book Numerical Analysis Of Stochastic Volatility Jump Diffusion Models written by Abdelilah Jraifi and published by LAP Lambert Academic Publishing. This book was released on 2014-06-30 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS," of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.
Book Synopsis Essays on Stochastic Volatility and Jumps by : Ke Chen (Economist)
Download or read book Essays on Stochastic Volatility and Jumps written by Ke Chen (Economist) and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a framework of stochastic volatility with stochastic jump intensity. The proposed model considers jump intensity as an extra factor which is driven by realized jumps, in addition to a stochastic volatility model. The results provide strong evidence of multiple factors in the market and show how they drive the variance risk premium. Thirdly, the thesis uses the proposed models to price options on equity and VIX consistently. Based on calibrated model parameters, the thesis shows how to calculate the unconditional correlation of VIX future between different maturities.
