Double Gamma Stochastic Volatility Model In Discrete Time PDF Download
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| Author | : Ali Hirsa |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Double Gamma Stochastic Volatility Model in Discrete Time Book in PDF, ePub and Kindle
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.
| Author | : Ali Hirsa |
| Publisher | : CRC Press |
| Total Pages | : 644 |
| Release | : 2024-08-30 |
| Genre | : Business & Economics |
| ISBN | : 1498778615 |
Download Computational Methods in Finance Book in PDF, ePub and Kindle
Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.
| Author | : Guojing Tang |
| Publisher | : |
| Total Pages | : |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Discrete Time Stochastic Volatility Model Book in PDF, ePub and Kindle
| Author | : Sujay Mukhoti |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download A New Class of Discrete-Time Stochastic Volatility Model with Correlated Errors Book in PDF, ePub and Kindle
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.
| Author | : Jaya P. N. Bishwal |
| Publisher | : Springer Nature |
| Total Pages | : 634 |
| Release | : 2022-08-06 |
| Genre | : Mathematics |
| ISBN | : 3031038614 |
Download Parameter Estimation in Stochastic Volatility Models Book in PDF, ePub and Kindle
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
| Author | : Mr.Noureddine Krichene |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2003-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1451854846 |
Download Modeling Stochastic Volatility with Application to Stock Returns Book in PDF, ePub and Kindle
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.
| Author | : Nikolaus Hautsch |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference Book in PDF, ePub and Kindle
| Author | : Francesca Lilla |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Volatility Bursts Book in PDF, ePub and Kindle
I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent factor which evolves according to the Autoregressive Gamma Zero process. A key advantage of the discrete-time specification is the possibility of estimating the model via the Extended Kalman Filter. Moreover, the VARG-B model leads to a fully analytic conditional Laplace transform which leads to a closed option pricing formula. When estimated on S&P500 index options and returns the new model provides more accurate option pricing and modelling of the IV surface with respect to some alternative models.
| Author | : Yue Kuen Kwok |
| Publisher | : CRC Press |
| Total Pages | : 283 |
| Release | : 2022-05-08 |
| Genre | : Business & Economics |
| ISBN | : 1000584259 |
Download Pricing Models of Volatility Products and Exotic Variance Derivatives Book in PDF, ePub and Kindle
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
| Author | : Rogemar S. Mamon |
| Publisher | : Springer |
| Total Pages | : 280 |
| Release | : 2014-05-14 |
| Genre | : Business & Economics |
| ISBN | : 1489974423 |
Download Hidden Markov Models in Finance Book in PDF, ePub and Kindle
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.
