The Experts below are selected from a list of 42498 Experts worldwide ranked by ideXlab platform
Luitgard A. M. Veraart - One of the best experts on this subject based on the ideXlab platform.
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Stochastic Volatility and Stochastic leverage
Annals of Finance, 2010Co-Authors: Almut E. D. Veraart, Luitgard A. M. VeraartAbstract:This paper proposes the new concept of Stochastic leverage in Stochastic Volatility models. Stochastic leverage refers to a Stochastic process which replaces the classical constant correlation parameter between the asset return and the Stochastic Volatility process. We provide a systematic treatment of Stochastic leverage and propose to model the Stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new Stochastic Volatility models which allow for a Stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a Stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new models.
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Stochastic Volatility and Stochastic leverage
Annals of Finance, 2010Co-Authors: Almut E. D. Veraart, Luitgard A. M. VeraartAbstract:This paper proposes the new concept of Stochastic leverage in Stochastic Volatility models. Stochastic leverage refers to a Stochastic process which replaces the classical constant correlation parameter between the asset return and the Stochastic Volatility process. We provide a systematic treatment of Stochastic leverage and propose to model the Stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new Stochastic Volatility models which allow for a Stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a Stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new mod
Almut E. D. Veraart - One of the best experts on this subject based on the ideXlab platform.
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Stochastic Volatility and Stochastic leverage
Annals of Finance, 2010Co-Authors: Almut E. D. Veraart, Luitgard A. M. VeraartAbstract:This paper proposes the new concept of Stochastic leverage in Stochastic Volatility models. Stochastic leverage refers to a Stochastic process which replaces the classical constant correlation parameter between the asset return and the Stochastic Volatility process. We provide a systematic treatment of Stochastic leverage and propose to model the Stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new Stochastic Volatility models which allow for a Stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a Stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new mod
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Stochastic Volatility and Stochastic leverage
Annals of Finance, 2010Co-Authors: Almut E. D. Veraart, Luitgard A. M. VeraartAbstract:This paper proposes the new concept of Stochastic leverage in Stochastic Volatility models. Stochastic leverage refers to a Stochastic process which replaces the classical constant correlation parameter between the asset return and the Stochastic Volatility process. We provide a systematic treatment of Stochastic leverage and propose to model the Stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new Stochastic Volatility models which allow for a Stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a Stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new models.
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Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009Co-Authors: Ole E. Barndorff-nielsen, Almut E. D. VeraartAbstract:This paper introduces the concept of Stochastic Volatility of Volatility in continuous time and, hence, extends standard Stochastic Volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how Stochastic Volatility of Volatility can be defined both non–parametrically, where we link it to the quadratic variation of the Stochastic variance process, and parametrically, where we propose two new SV models which allow for Stochastic Volatility of Volatility. In addition, we show that Volatility of Volatility can be estimated by a novel estimator called pre–estimated spot variance based realised variance.
Omoriyasuhiro - One of the best experts on this subject based on the ideXlab platform.
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Realized Stochastic Volatility with leverage and long memory
Computational Statistics & Data Analysis, 2014Co-Authors: Shirotashinichiro, Hizutakayuki, OmoriyasuhiroAbstract:The daily return and the realized Volatility are simultaneously modeled in the Stochastic Volatility model with leverage and long memory. The dependent variable in the Stochastic Volatility model i...
Razvan Sufana - One of the best experts on this subject based on the ideXlab platform.
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derivative pricing with wishart multivariate Stochastic Volatility
Journal of Business & Economic Statistics, 2010Co-Authors: Christian Gouriéroux, Razvan SufanaAbstract:This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart Stochastic Volatility matrix. This multivariate Stochastic Volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of the Stochastic Volatility model introduced by Heston (1993), and (ii) a model for credit risk analysis that extends the model of Merton (1974) to a framework with Stochastic firm liability, Stochastic Volatility, and several firms. A bivariate version of the Stochastic Volatility model is estimated using stock prices and moment conditions derived from the joint unconditional Laplace transform of the stock returns.
Shirotashinichiro - One of the best experts on this subject based on the ideXlab platform.
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Realized Stochastic Volatility with leverage and long memory
Computational Statistics & Data Analysis, 2014Co-Authors: Shirotashinichiro, Hizutakayuki, OmoriyasuhiroAbstract:The daily return and the realized Volatility are simultaneously modeled in the Stochastic Volatility model with leverage and long memory. The dependent variable in the Stochastic Volatility model i...