Stochastic Volatility

By Torben G. Andersen, Luca Benzoni. Encyclopedia of Complexity and Systems Science, 2009

308 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c31c088681f15603f990c840e45ae9bbd0d6327b

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Citations in the corpus

Volatility surfaces: theory, rules of thumb, and empirical evidence (2007, background): “For example, for a mean-reverting stochastic volatility model, the implied volatility approximately satisfies the square root of time rule when the reversion coefficient is large (Andersson, 2003).”
Option pricing under hybrid stochastic and local volatility (2013, background): “For example, Ghysels et al. (1996) and Harvey (2001) show that it is time-varying.”
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011, background): “Shephard (1996) and Ghysels, Harvey, and Renault (1996) provide complete reviews on SV models.”
Delay geometric Brownian motion in financial option valuation (2013, background): “[7]) and widely accepted that the assumed normality of the returns distribution is violated in both the historical asset price data and the market option prices.”
Kalman filter-based modelling and forecasting of stochastic volatility with threshold (2015, methodology): “When εt is symmetrically distributed around zero, ACF of squared residuals y(2)t of the AR-SV model [10] is given by”
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2007, background): “…such extensions is smaller, however, and there are more and more financial data applications of multivariate systems at present; see, for example, Ghysels et al (1996) and Shephard (2005) for reviews of the stochastic volatility literature and Dai and Singleton (2002) for a review of the term…”
Limit order books (2010, background): “Many different measures of volatility exist, and the exact form of volatility studied in a given situation depends on both the data available and the purpose of the calculation (Shephard 2005).”
Testing the assumptions behind importance sampling (2009, background): “, Hendry and Richard (1991), Danielsson and Richard (1993), Sandmann and Koopman (1998), Elerian, Chib, and Shephard (2001), Durham and Gallant (2002), Durham (2006), and Asai and McAleer (2006).”
Utility indifference pricing : an overview (2009, background): “Again the above simplifications can be used to reduce the dimension of the problem (see Henderson and Hobson [39]) except that in this case it is not possible to remove the dependence on y. Suppose that the agent has exponential utility.”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, methodology): “…variable has shown itself capable of capturing the dynamics of the financial series of returns in a better way than the competing GARCH models (see, for example, Danielsson, 1994; Ghysels et al., 1996; Kim et al., 1998, on the advantages of using the SV framework relative to the GARCH framework).”
Stochastic volatility with leverage: Fast and efficient likelihood inference (2007, background): “There is by now a large literature on the fitting of stochastic volatility (SV) models (see, for example, the reviews in Ghysels et al. (1996) and Shephard (2005)). Particularly well studied are SV models without leverage for which the Bayesian approach of Kim et al. (1998) has become”
A GARCH Option Pricing Model with Filtered Historical Simulation (2008, methodology): “…and Gibbons (1985) for the conditions under which the SPD per unit probability with consumption growth rate as state variable is equivalent to a SPD per unit probability with equity index return as state variable. innovations are non-normal; see for instance Ghysels, Harvey, and Renault (1996).”