Risk management based on stochastic volatility

71 citations recorded by the source corpus.

How researchers see this paper

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

Some recent developments in stochastic volatility modelling (2002, background): “where τ ∗ (t )= t 0 τ (s)ds, while Eberlein, Kallsen, and Kristen (2001) examine”
Nonparametric Risk Management With Generalized Hyperbolic Distributions (2005, background): “Eberlein, Kallsen, and Kristen (2003) have proposed a model using the GH distribution that gives more accurate VaR values than the model with the normal distribution.”
Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2003, background): “For an extension of the Lévy approach which takes stochastic volatility and thus dependence among returns into account see [16].”
From local volatility to local Lévy models (2004, unknown): “This class of processes is increasingly being used in the study of financial market prices (Eberlein et al 1998, Barndorff-Nielsen and Shephard 2001, Geman et al 2001, Eberlein et al 2003).”
Markov chain Monte Carlo methods for stochastic volatility models (2002, background): “Leading references include Eberlein (2002), Prause (1999) and Eberlein and Prause (2002), while an introductory exposition is given in Barndor Eberlein et al. (2001) .”