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Andersson, Kristina. "Stochastic Volatility". Thesis, Uppsala University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121722.
Pełny tekst źródłaGaliotos, Vassilis. "Stochastic Volatility and the Volatility Smile". Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120151.
Pełny tekst źródłaLe, Truc. "Stochastic volatility models". Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.
Pełny tekst źródłaZeytun, Serkan. "Stochastic Volatility, A New Approach For Vasicek Model With Stochastic Volatility". Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606561/index.pdf.
Pełny tekst źródłaCap, Thi Diu. "Implied volatility with HJM–type Stochastic Volatility model". Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54938.
Pełny tekst źródłaJacquier, Antoine. "Implied volatility asymptotics under affine stochastic volatility models". Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6142.
Pełny tekst źródłaOzkan, Pelin. "Analysis Of Stochastic And Non-stochastic Volatility Models". Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605421/index.pdf.
Pełny tekst źródłaVavruška, Marek. "Realised stochastic volatility in practice". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165381.
Pełny tekst źródłaHrbek, Filip. "Metody předvídání volatility". Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.
Pełny tekst źródłaLopes, Moreira de Veiga Maria Helena. "Modelling and forecasting stochastic volatility". Doctoral thesis, Universitat Autònoma de Barcelona, 2004. http://hdl.handle.net/10803/4046.
Pełny tekst źródłaEn mi primer capítulo, intento modelar las principales características de las series financieras, como a persistencia y curtosis. Los modelos de volatilidad estocástica estimados son extensiones directas de los modelos de Gallant y Tauchen (2001), donde incluyo un elemento de retro-alimentación. Este elemento es de extrema importancia porque permite captar el hecho de que períodos de alta volatilidad están, en general, seguidos de periodos de gran volatilidad y viceversa. En este capítulo, como en toda la tesis, uso el método de estimación eficiente de momentos de Gallant y Tauchen (1996). De la estimación surgen dos modelos posibles de describir los datos, el modelo logarítmico con factor de volatilidad y retroalimentación y el modelo logarítmico con dos factores de volatilidad. Como no es posible elegir entre ellos basados en los tests efectuados en la fase de la estimación, tendremos que usar el método de reprogección para obtener mas herramientas de comparación. El modelo con un factor de volatilidad se comporta muy bien y es capaz de captar la "quiebra" de los mercados financieros de 1987.
En el segundo capítulo, hago la evaluación del modelo con dos factores de volatilidad en términos de predicción y comparo esa predicción con las obtenidas con los modelos GARCH y ARFIMA. La evaluación de la predicción para los tres modelos es hecha con la ayuda del R2 de las regresiones individuales de la volatilidad "realizada" en una constante y en las predicciones. Los resultados empíricos indican un mejor comportamiento del modelo en tiempo continuo. Es más, los modelos GARCH y ARFIMA parecen tener problemas en seguir la marcha de la volatilidad "realizada".
Finalmente, en el tercer capítulo hago una extensión del modelo de volatilidad estocástica de memoria larga de Harvey (2003). O sea, introduzco un factor de volatilidad de corto plazo. Este factor extra aumenta la curtosis y ayuda a captar la persistencia (que es captada con un proceso integrado fraccional, como en Harvey (1993)). Los resultados son probados y el modelo implementado empíricamente.
The purpose of my thesis is to model and forecast the volatility of the financial series of returns by using both continuous and discrete time stochastic volatility models.
In my first chapter I try to fit the main characteristics of the financial series of returns such as: volatility persistence, volatility clustering and fat tails of the distribution of the returns.The estimated logarithmic stochastic volatility models are direct extensions of the Gallant and Tauchen's (2001) by including the feedback feature. This feature is of extreme importance because it allows to capture the low variability of the volatility factor when the factor is itself low (volatility clustering) and it also captures the increase in volatility persistence that occurs when there is an apparent change in the pattern of volatility at the very end of the sample. In this chapter, as well as in all the thesis, I use Efficient Method of Moments of Gallant and Tauchen (1996) as an estimation method. From the estimation step, two models come out, the logarithmic model with one factor of volatility and feedback (L1F) and the logarithmic model with two factors of volatility (L2). Since it is not possible to choose between them based on the diagnostics computed at the estimation step, I use the reprojection step to obtain more tools for comparing models. The L1F is able to reproject volatility quite well without even missing the crash of 1987.
In the second chapter I fit the continuous time model with two factors of volatility of Gallant and Tauchen (2001) for the return of a Microsoft share. The aim of this chapter is to evaluate the volatility forecasting performance of the continuous time stochastic volatility model comparatively to the ones obtained with the traditional GARCH and ARFIMA models. In order to inquire into this, I estimate using the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) a continuous time stochastic volatility model for the logarithm of asset price and I filter the underlying volatility using the reprojection technique of Gallant and Tauchen (1998). Under the assumption that the model is correctly specified, I obtain a consistent estimator of the integrated volatility by fitting a continuous time stochastic volatility model to the data. The forecasting evaluation for the three estimated models is going to be done with the help of the R2 of the individual regressions of realized volatility on the volatility forecasts obtained from the estimated models. The empirical results indicate the better performance of the continuous time model in the out-of-sample periods compared to the ones of the traditional GARCH and ARFIMA models. Further, these two last models show difficulties in tracking the growth pattern of the realized volatility. This probably is due to the change of pattern in volatility in this last part of the sample.
Finally, in the third chapter I come back to the model specification and I extend the long memory stochastic volatility model of Harvey (1993) by introducing a short run volatility factor. This extra factor increases kurtosis and helps the model capturing volatility persistence (that it is captured by a fractionally integrated process as in Harvey (1993) ). Futhermore, considering some restrictions of the parameters it is possible to fit the empirical fact of small first order autocorrelation of squared returns. All these results are proved theoretically and the model is implemented empirically using the S&P 500 composite index returns. The empirical results show the superiority of the model in fitting the main empirical facts of the financial series of returns.
Tsang, Wai-yin, i 曾慧賢. "Aspects of modelling stochastic volatility". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31223515.
Pełny tekst źródłaKovachev, Yavor. "Calibration of stochastic volatility models". Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-227502.
Pełny tekst źródłaTsiotas, Georgios K. "Nonlinearities in stochastic volatility models". Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.394112.
Pełny tekst źródłaPEREIRA, RICARDO VELA DE BRITTO. "VOLATILITY: A HIDDEN STOCHASTIC PROCESS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16816@1.
Pełny tekst źródłaA volatilidade é um parâmetro importante de modelagem do mercado financeiro. Ela controla a medida de risco associado à dinâmica estocástica de preço do título financeiro, afetando também o preço racional dos derivativos.Existe evidência empírica que a volatilidade é por sua vez também um processo estocástico, subjacente ao dos preços. Assim, a volatilidade não pode ser observada diretamente e tem que ser estimada, constituindo-se de um processo estocástico escondido.Nesta dissertação, consideramos um estimador para a volatilidade diária do índice da BOVESPA, baseado em banco de dados intradiários. Fazemos uma análise estatística descritiva da série temporal obtida, obtendo-se a função densidade de probabilidade, os momentos e as correlações. Comparamos os resultados empíricos com as previsões teóricas de vários modelos de volatilidade estocástica. Consideramos a classe de equações de Itô-Langevin formada por um processo de reversão à média e um processo difusivo de Wiener generalizado, com componentes de ruído multiplicativo e/ou aditivo. A partir dessa análise, é sugerido um modelo para descrever as flutuações de volatilidade dos preços do mercado acionário brasileiro.
Volatility is a key model parameter of the financial market. It controls the risk associated to the stochastic dynamics of the asset prices and also affects the rational price of derivative products. There are empirical evidences that the volatility is also a stochastic process, underlined to the price one. Therefore, the volatility is not directly observed and must be estimated, constituting a hidden stochastic process. In this work, we consider an estimate for the daily volatility of the BOVESPA index, computed from the intraday database. We perform a descriptive statistical analysis of the resulting time series, obtaining the probability density function, moments and correlations. We compare the empirical outcomes with the theoretical forecasts of many stochastic volatility models. We consider the class of Itô-Langevin equations composed by a mean reverting process and a generalized diffusive Wiener process with multiplicative and/or additive noise components. From this analysis, we propose a model that describes the volatility fluctuations of the Brazilian stock market.
Chen, Jilong. "Pricing derivatives with stochastic volatility". Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7703/.
Pełny tekst źródłaVenter, Rudolf Gerrit. "Pricing options under stochastic volatility". Diss., Pretoria : [s.n.], 2003. http://upetd.up.ac.za/thesis/available/etd09052005-120952.
Pełny tekst źródłaTsang, Wai-yin. "Aspects of modelling stochastic volatility /". Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22078952.
Pełny tekst źródłaCovaciu, Livia Andreea <1991>. "Stochastic volatility with big data". Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6933.
Pełny tekst źródłaAbi, Jaber Eduardo. "Stochastic Invariance and Stochastic Volterra Equations". Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED025/document.
Pełny tekst źródłaThe present thesis deals with the theory of finite dimensional stochastic equations.In the first part, we derive necessary and sufficient geometric conditions on the coefficients of a stochastic differential equation for the existence of a constrained solution, under weak regularity on the coefficients. In the second part, we tackle existence and uniqueness problems of stochastic Volterra equations of convolution type. These equations are in general non-Markovian. We establish their correspondence with infinite dimensional equations which allows us to approximate them by finite dimensional stochastic differential equations of Markovian type. Finally, we illustrate our findings with an application to mathematical finance, namely rough volatility modeling. We design a stochastic volatility model with an appealing trade-off between flexibility and tractability
Broodryk, Ryan. "The Lifted Heston Stochastic Volatility Model". Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32614.
Pełny tekst źródłaChoi, Chiu Yee. "A multivariate threshold stochastic volatility model /". View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHOI.
Pełny tekst źródłaKalavrezos, Michail, i Michael Wennermo. "Stochastic Volatility Models in Option Pricing". Thesis, Mälardalen University, Department of Mathematics and Physics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-538.
Pełny tekst źródłaIn this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. The paper describes the foundations of stochastic volatility option pricing and compares the output of the models. The model which better estimates the real option price is dependent on further research of the model parameters involved.
Aldberg, Henrik. "Bond Pricing in Stochastic Volatility Models". Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120524.
Pełny tekst źródłaBjarnason, Thorir. "Stochastic volatility, convex prices and bubbles". Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120913.
Pełny tekst źródłaMalaikah, Honaida Muhammed S. "Stochastic volatility models and memory effect". Thesis, University of Manchester, 2011. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-volatility-models-and-mempry-effect(424f6c71-a0e7-44ba-afbb-cc5f74ae075c).html.
Pełny tekst źródłaSandmann, Gleb. "Stochastic volatility : estimation and empirical validity". Thesis, London School of Economics and Political Science (University of London), 1997. http://etheses.lse.ac.uk/1456/.
Pełny tekst źródłaGuo, Chuan. "The stochastic volatility Markov-functional model". Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/91418/.
Pełny tekst źródłaPham, Duy. "Markov-functional and stochastic volatility modelling". Thesis, University of Warwick, 2012. http://wrap.warwick.ac.uk/55161/.
Pełny tekst źródłaMurara, Jean-Paul. "Asset Pricing Models with Stochastic Volatility". Licentiate thesis, Mälardalens högskola, Utbildningsvetenskap och Matematik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-31576.
Pełny tekst źródłaChen, Ke. "Essays on stochastic volatility and jumps". Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-stochastic-volatility-and-jumps(7ce79e77-2806-443e-84c1-8b3ec922cc9f).html.
Pełny tekst źródłaYoon, Jungyeon Ji Chuanshu. "Option pricing with stochastic volatility models". Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,1964.
Pełny tekst źródłaTitle from electronic title page (viewed Dec. 11, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Statistics and Operations Research Statistics." Discipline: Statistics and Operations Research; Department/School: Statistics and Operations Research.
Chen, Huaizhi. "Estimating Stochastic Volatility Using Particle Filters". Cleveland, Ohio : Case Western Reserve University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250.
Pełny tekst źródłaTitle from PDF (viewed on 19 August 2009) Department of Mathematics Includes abstract Includes bibliographical references Available online via the OhioLINK ETD Center
Terenzi, Giulia. "Option prices in stochastic volatility models". Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1132/document.
Pełny tekst źródłaWe study option pricing problems in stochastic volatility models. In the first part of this thesis we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic obstacle problem. Our approach is based on variational inequalities in suitable weighted Sobolev spaces and extends recent results of Daskalopoulos and Feehan (2011, 2016) and Feehan and Pop (2015). We also investigate the properties of the American value function. In particular, we prove that, under suitable assumptions on the payoff, the value function is nondecreasing with respect to the volatility variable. Then, we focus on an American put option and we extend some results which are well known in the Black and Scholes world. In particular, we prove the strict convexity of the value function in the continuation region, some properties of the free boundary function, the Early Exercise Price formula and a weak form of the smooth fit principle. This is done mostly by using probabilistic techniques.In the second part we deal with the numerical computation of European and American option prices in jump-diffusion stochastic volatility models. We first focus on the Bates-Hull-White model, i.e. the Bates model with a stochastic interest rate. We consider a backward hybrid algorithm which uses a Markov chain approximation (in particular, a “multiple jumps” tree) in the direction of the volatility and the interest rate and a (deterministic) finite-difference approach in order to handle the underlying asset price process. Moreover, we provide a simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods.Finally, we analyze the rate of convergence of the hybrid algorithm applied to general jump-diffusion models. We study first order weak convergence of Markov chains to diffusions under quite general assumptions. Then, we prove the convergence of the algorithm, by studying the stability and the consistency of the hybrid scheme, in a sense that allows us to exploit the probabilistic features of the Markov chain approximation
Salikhova, Alsu <1982>. "Stochastic Volatility Analysis for Hedge Funds". Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/3351.
Pełny tekst źródłaAhy, Nathaniel, i Mikael Sierra. "Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model". Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.
Pełny tekst źródłaDuben, Josef. "Oceňování opcí se stochastickou volatilitou". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-72010.
Pełny tekst źródłaYuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.
Pełny tekst źródłaMeng, Yu. "Bayesian Analysis of a Stochastic Volatility Model". Thesis, Uppsala University, Department of Mathematics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-119972.
Pełny tekst źródłaHafner, Reinhold. "Stochastic implied volatility : a factor-based model /". Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.
Pełny tekst źródłaShi, Fangwei. "Asymptotic analysis of new stochastic volatility models". Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/60648.
Pełny tekst źródłaShi, Lishan. "Stochastic volatility in mean option pricing models". Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.614015.
Pełny tekst źródłaMonge, Adriana Ocejo. "Time-change and control of stochastic volatility". Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/62030/.
Pełny tekst źródłaRafiou, AS. "Foreign Exchange Option Valuation under Stochastic Volatility". University of the Western Cape, 2009. http://hdl.handle.net/11394/7777.
Pełny tekst źródłaThe case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant volatility and under stochastic volatility models. We apply a family of the stochastic models to investigate the relative performance of option prices. For the valuation of option under constant volatility, we derive a closed form analytic solution which relaxes some of the assumptions in the Black-Scholes model. The problem of two-dimensional random diffusion of exchange rates and volatilities is treated with present value scheme, mean reversion and non-mean reversion stochastic volatility models. A multi-factor Gaussian distribution function is applied on lognormal asset dynamics sampled from a normal distribution which we generate by the Box-Muller method and make inter dependent by Cholesky factor matrix decomposition. Furthermore, a Monte Carlo simulation method is adopted to approximate a general form of numeric solution The historic data considered dates from 31 December 1997 to 30 June 2008. The basket contains ZAR as base currency, USD, GBP, EUR and JPY are foreign currencies.
Cullinan, Cian. "Implementation of Bivariate Unspanned Stochastic Volatility Models". Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29266.
Pełny tekst źródłaWort, Joshua. "Pricing with Bivariate Unspanned Stochastic Volatility Models". Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31323.
Pełny tekst źródłaCowen, Nicholas. "Local Stochastic Volatility—The Hyp-Hyp Model". Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32556.
Pełny tekst źródłaHäfner, Reinhold. "Stochastic implied volatility : a factor-based model /". Berlin ; New York : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.
Pełny tekst źródłaZanchini, Giulia. "Stochastic local volatility model for fx markets". Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/7685/.
Pełny tekst źródłaKövamees, Gustav. "Particle-based Stochastic Volatility in Mean model". Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257505.
Pełny tekst źródłaDetta examensarbete presenterar en stokastisk volatilitets medelvärdes (SVM) modell som estimeras genom sekventiella Monte Carlo metoder. SVM-modellen introducerades av Koopman och ger en möjlighet att studera den samtida relationen mellan aktiers avkastning och deras volatilitet genom att inkludera volatilitet som en förklarande variabel i medelvärdes-ekvationen. Sekventiella Monte Carlo metoder tillåter oss att använda icke-linjära estimerings procedurer till en kostnad av extra beräkningskomplexitet. Den nyligen utvecklad PaRIS-algoritmen, introducerad av Olsson och Westerborn, minskar drastiskt beräkningskomplexiteten jämfört med tidigare algoritmer och tillåter en effektiv uppskattning av parametrar. Huvudsyftet med detta arbete är att undersöka volatilitets-återkopplings-teorin d.v.s. relationen mellan förväntad avkastning och oväntad volatilitet i en empirisk studie. Resultatet visar på att oväntade chockar i avkastningsprocessen inte har förklarande förmåga över förväntad avkastning.
Zhao, Ze. "Stochastic volatility models with applications in finance". Diss., University of Iowa, 2016. https://ir.uiowa.edu/etd/2306.
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