MEAN-REVERTING STOCHASTIC VOLATILITY

By Jean-Pierre Fouque 3. 2000

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff397adc98e1b7453f3d5ba1c422fe98f208d8d5

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Citations in the corpus

On the pricing and hedging of volatility derivatives (2004, unknown): “That is, when considering the time-scale of months, stock and index volatility is observed to fluctuate rapidly, see for example the discussion in [7] or [13] and references therein.”
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007, background): “The first four parameters determine the leading term I1 in Expansion (18); so we expect them to be inferred accurately.”
Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree (2008, background): “For now, the reader is directed to current work in (Fouque et al., 2000b), (Nielsen and Vestergaard, 2000) or (Bollerslev and Zhou, 2002).”
On non-Gaussianity and dependence in financial time series: a nonextensive approach (2005, unknown): “…jointly with stochastic equations for D in an analogous way to stochastic volatility models like Ornstein–Uhlembeck (Stein and Stein 1991), Heston (1993) or exponential Ornstein–Uhlembeck (Fouque et al. 2000). yAs can be seen in figure 13 the autocorrelation function presents large fluctuations.”
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models (2008, methodology): “It is important to point out that the one-factor commodity model is closely related to the IR model examined by Fouque et al. (2000b); however, the relevant pricing object is the futures price rather than bond prices.”
Option pricing under hybrid stochastic and local volatility (2013, methodology): “This issue is usually addressed by assuming that μ depends on (Xt , Yt ) in such a way that the ratio (μ(Xs, Ys)− r)/( f (Ys)X (θ−2)/2 s ) is bounded (see chapter 2 of Fouque et al. (2011), for instance).”