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Vix Computation Based On Affine Stochastic Volatility Models In Discrete Time
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Book Synopsis VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time by : Asmerilda Hitaj
Download or read book VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time written by Asmerilda Hitaj and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time-varying higher moments observed in financial series. We build this class of models in order to reach two desirable results. Firstly, we have a recursive procedure for the characteristic function of the log price at maturity that allows a semi-analytical formula for option prices as in Heston and Nandi (2000). Secondly, we try to reproduce some features of the VIX Index. We derive a simple formula for the VIX index and use it for option pricing purposes.
Book Synopsis Handbook of Recent Advances in Commodity and Financial Modeling by : Giorgio Consigli
Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.
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 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 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 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 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 A Stochastic Volatility Model with Realized Measures for Option Pricing by : Giacomo Bormetti
Download or read book A Stochastic Volatility Model with Realized Measures for Option Pricing written by Giacomo Bormetti and published by . This book was released on 2019 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 Index options.
Book Synopsis VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions by : Zhe Zhao
Download or read book VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions written by Zhe Zhao and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new valuation and calibration method for VIX futures and VIX options is proposed. The method is based on a closed-form Hermite series expansion for a stochastic volatility model with the stochastic variance process driven by an affine drift term. We implement the methodology for the Heston and the mean-reverting CEV stochastic volatility models. A calibration exercise to real market data shows that the method is efficient, accurate, and suitable for practical implementation.
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis Comparison of Methods for Estimating Stochastic Volatility by : John Parnell Collins
Download or read book Comparison of Methods for Estimating Stochastic Volatility written by John Parnell Collins and published by . This book was released on 2013 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the ever changing stock market has long been of interest to both academic and financial institutions. The early attempts to model the dynamics treated the volatility or sensitivity of the price change to random effects as constant. However, in matching the model to real data it was realized that the volatility was actually a random variable, and thus began efforts to determine methods for estimating the stochastic volatility from experimental data. In this thesis, we develop and compare three different computational statistical filtering methods for estimating the volatility: The Kalman Filter, the Gibbs Sampler, and the Particle Filter. These methods are applied to a discrete time version of the log-volatility dynamic model and the results are compared based on their performance on synthetic data sets, where dynamics are nonlinear. All the methods struggled to provide accurate estimates, but in comparison, the Gibbs Sampler provided the most accurate estimates, with Particle Filtering providing the least accurate results. Therefore, further investigation on the topic should take place.
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 Option Valuation Under Stochastic Volatility II by : Alan L. Lewis
Download or read book Option Valuation Under Stochastic Volatility II written by Alan L. Lewis and published by . This book was released on 2016-05-12 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Book Synopsis Implied Volatility Asymptotics Under Affine Stochastic Volatility Models by : Antoine Jacquier
Download or read book Implied Volatility Asymptotics Under Affine Stochastic Volatility Models written by Antoine Jacquier and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-term Rate by : Fabio Fornari
Download or read book A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-term Rate written by Fabio Fornari and published by . This book was released on 2001 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedging in Affine Stochastic Volatility Models by : Richard Vierthauer
Download or read book Hedging in Affine Stochastic Volatility Models written by Richard Vierthauer and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
