Stochastic Volatility Model with Time‐dependent Skew

By Vladimir V. Piterbarg. 2005

82 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/938e0b72bd75aeb8e447e3c95ace4a6226d7625d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Gerard P. Brunick
2. Steven E. Shreve
3. Fabio Mercurio

In Finance

1. Gerard P. Brunick
2. Steven E. Shreve
3. Fabio Mercurio
4. Daniel Lacker
5. Daniel Sevcovic
6. Eitan Tadmor

Citations in the corpus

• Mimicking an Itô process by a solution of a stochastic differential equation (2010, background): “Keywords and phrases: Itô process, stochastic differential equation, derivative security pricing, stochastic volatility models.”
• Moment explosions in stochastic volatility models (2006, unknown): “[5,6,13, 25],justtonameafew.Observationsofskewsandsmilesinquotedfixedincome options is consistent with the empirical evidence and has recently prompted financial engineers to develop a number of models that incorporate stochastic volatility into derivatives pricing models. Examples include [1,2,12,1”
• LIBOR Market Models with Stochastic Basis (2010, background): “…x k (t) = b∑ k=a+1 ωk(t)S x k (0)M S(t) ≈MS(t) b∑ k=a+1 ωk(0)S x k (0) = S̄(0)M S(t) Given the independence between MS and OIS rates, the dynamics of MS under the swap 13This is the case, for instance, of the LMMs of Andersen and Andreasen (2002), Piterbarg (2005) and Wu and Zhang (2006).”
• Interest Rates and The Credit Crunch: New Formulas and Market Models (2009, unknown): “29 and Andreasen (2002), Piterbarg (2005), Wu and Zhang (2006) and Zhu (2007).”