Статті в журналах з теми "Stochastic Volatility"
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Blanco, Belen. "Capturing the volatility smile: parametric volatility models versus stochastic volatility models." Public and Municipal Finance 5, no. 4 (December 26, 2016): 15–22. http://dx.doi.org/10.21511/pmf.05(4).2016.02.
Повний текст джерелаSABANIS, SOTIRIOS. "STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 05, no. 05 (August 2002): 515–30. http://dx.doi.org/10.1142/s021902490200150x.
Повний текст джерелаAlghalith, Moawia, Christos Floros, and Konstantinos Gkillas. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility." Risks 8, no. 2 (April 11, 2020): 35. http://dx.doi.org/10.3390/risks8020035.
Повний текст джерелаVeraart, Almut E. D., and Luitgard A. M. Veraart. "Stochastic volatility and stochastic leverage." Annals of Finance 8, no. 2-3 (May 21, 2010): 205–33. http://dx.doi.org/10.1007/s10436-010-0157-3.
Повний текст джерелаGuyon, Julien. "Stochastic Volatility Modeling." Quantitative Finance 17, no. 6 (April 18, 2017): 825–28. http://dx.doi.org/10.1080/14697688.2017.1309181.
Повний текст джерелаBandi, Federico M., and Roberto Renò. "NONPARAMETRIC STOCHASTIC VOLATILITY." Econometric Theory 34, no. 6 (July 3, 2018): 1207–55. http://dx.doi.org/10.1017/s0266466617000457.
Повний текст джерелаCapobianco, E. "Stochastic Volatility Systems." International Journal of Modelling and Simulation 17, no. 2 (January 1997): 137–42. http://dx.doi.org/10.1080/02286203.1997.11760322.
Повний текст джерелаIlinski, Kirill, and Oleg Soloviev. "Stochastic volatility membrane." Wilmott 2004, no. 3 (May 2004): 74–81. http://dx.doi.org/10.1002/wilm.42820040317.
Повний текст джерелаMahatma, Yudi, and Ibnu Hadi. "Stochastic Volatility Estimation of Stock Prices using the Ensemble Kalman Filter." InPrime: Indonesian Journal of Pure and Applied Mathematics 3, no. 2 (November 10, 2021): 136–43. http://dx.doi.org/10.15408/inprime.v3i2.20256.
Повний текст джерелаSun, Ya, Meiyi Wang, and Hua Xie. "Volatility analysis of the flight block time based on the stochastic volatility model." Journal of Physics: Conference Series 2489, no. 1 (May 1, 2023): 012002. http://dx.doi.org/10.1088/1742-6596/2489/1/012002.
Повний текст джерелаYang, Ben-Zhang, Jia Yue, Ming-Hui Wang, and Nan-Jing Huang. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity." Applied Mathematics and Computation 355 (August 2019): 73–84. http://dx.doi.org/10.1016/j.amc.2019.02.063.
Повний текст джерелаZhu, Song-Ping, and Guang-Hua Lian. "Analytically pricing volatility swaps under stochastic volatility." Journal of Computational and Applied Mathematics 288 (November 2015): 332–40. http://dx.doi.org/10.1016/j.cam.2015.04.036.
Повний текст джерелаAït-Sahalia, Yacine, Chenxu Li, and Chen Xu Li. "Implied Stochastic Volatility Models." Review of Financial Studies 34, no. 1 (March 30, 2020): 394–450. http://dx.doi.org/10.1093/rfs/hhaa041.
Повний текст джерелаFOUQUE, JEAN-PIERRE, GEORGE PAPANICOLAOU, and K. RONNIE SIRCAR. "MEAN-REVERTING STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 03, no. 01 (January 2000): 101–42. http://dx.doi.org/10.1142/s0219024900000061.
Повний текст джерелаPFANTE, OLIVER, and NILS BERTSCHINGER. "VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 22, no. 03 (May 2019): 1950013. http://dx.doi.org/10.1142/s0219024919500134.
Повний текст джерелаBall, Clifford A., and Antonio Roma. "Stochastic Volatility Option Pricing." Journal of Financial and Quantitative Analysis 29, no. 4 (December 1994): 589. http://dx.doi.org/10.2307/2331111.
Повний текст джерелаCorlay, Sylvain, Joachim Lebovits, and Jacques Lévy Véhel. "MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS." Mathematical Finance 24, no. 2 (February 11, 2013): 364–402. http://dx.doi.org/10.1111/mafi.12024.
Повний текст джерелаLeisen, Dietmar P. J. "A Stochastic Volatility Lattice." IFAC Proceedings Volumes 31, no. 16 (June 1998): 75–80. http://dx.doi.org/10.1016/s1474-6670(17)40461-7.
Повний текст джерелаAsai, Manabu, and Michael McAleer. "Asymmetric Multivariate Stochastic Volatility." Econometric Reviews 25, no. 2-3 (September 2006): 453–73. http://dx.doi.org/10.1080/07474930600712913.
Повний текст джерелаSerletis, Apostolos, and Maksim Isakin. "Stochastic volatility demand systems." Econometric Reviews 36, no. 10 (October 7, 2015): 1111–22. http://dx.doi.org/10.1080/07474938.2014.977091.
Повний текст джерелаGhysels, Eric, Christian Gouriéroux, and Joann Jasiak. "Stochastic volatility duration models." Journal of Econometrics 119, no. 2 (April 2004): 413–33. http://dx.doi.org/10.1016/s0304-4076(03)00202-1.
Повний текст джерелаKurose, Yuta, and Yasuhiro Omori. "Dynamic equicorrelation stochastic volatility." Computational Statistics & Data Analysis 100 (August 2016): 795–813. http://dx.doi.org/10.1016/j.csda.2015.01.013.
Повний текст джерелаLe�n, �ngel, and Gonzalo Rubio. "Smiling under stochastic volatility." Spanish Economic Review 6, no. 1 (April 1, 2004): 53–75. http://dx.doi.org/10.1007/s10108-003-0077-8.
Повний текст джерелаCavaliere, Giuseppe. "Stochastic Volatility: Selected Readings." Economic Journal 116, no. 512 (June 1, 2006): F326—F327. http://dx.doi.org/10.1111/j.1468-0297.2006.01102_1.x.
Повний текст джерелаFouque, Jean-Pierre, George Papanicolaou, Ronnie Sircar, and Knut Solna. "Multiscale Stochastic Volatility Asymptotics." Multiscale Modeling & Simulation 2, no. 1 (January 2003): 22–42. http://dx.doi.org/10.1137/030600291.
Повний текст джерелаLe, Truc. "Stochastic market volatility models." Applied Financial Economics Letters 1, no. 3 (May 2005): 177–88. http://dx.doi.org/10.1080/17446540500101986.
Повний текст джерелаAknouche, Abdelhakim. "Periodic autoregressive stochastic volatility." Statistical Inference for Stochastic Processes 20, no. 2 (June 14, 2016): 139–77. http://dx.doi.org/10.1007/s11203-016-9139-z.
Повний текст джерелаCordis, Adriana S., and Chris Kirby. "Discrete stochastic autoregressive volatility." Journal of Banking & Finance 43 (June 2014): 160–78. http://dx.doi.org/10.1016/j.jbankfin.2014.03.020.
Повний текст джерелаAbraham, Bovas, N. Balakrishna, and Ranjini Sivakumar. "Gamma stochastic volatility models." Journal of Forecasting 25, no. 3 (2006): 153–71. http://dx.doi.org/10.1002/for.982.
Повний текст джерелаJavaheri, Alireza. "Inference and stochastic volatility." Wilmott 2004, no. 4 (July 2004): 56–63. http://dx.doi.org/10.1002/wilm.42820040415.
Повний текст джерелаZhou, Yanli, Shican Liu, Shuang Li, and Xiangyu Ge. "The Correction of Multiscale Stochastic Volatility to American Put Option: An Asymptotic Approximation and Finite Difference Approach." Journal of Function Spaces 2021 (September 17, 2021): 1–14. http://dx.doi.org/10.1155/2021/1217665.
Повний текст джерелаLu, Xiang, Gunter Meissner, and Hong Sherwin. "A Unified Stochastic Volatility—Stochastic Correlation Model." Journal of Mathematical Finance 10, no. 04 (2020): 679–96. http://dx.doi.org/10.4236/jmf.2020.104039.
Повний текст джерелаFONG, WAI MUN, and WING-KEUNG WONG. "THE STOCHASTIC COMPONENT OF REALIZED VOLATILITY." Annals of Financial Economics 02, no. 01 (June 2006): 0650004. http://dx.doi.org/10.1142/s2010495206500047.
Повний текст джерелаLEE, ROGER W. "IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 04, no. 01 (February 2001): 45–89. http://dx.doi.org/10.1142/s0219024901000870.
Повний текст джерелаTauchen, George. "Stochastic Volatility in General Equilibrium." Quarterly Journal of Finance 01, no. 04 (December 2011): 707–31. http://dx.doi.org/10.1142/s2010139211000237.
Повний текст джерелаZhu, Yingzi, and Marco Avellaneda. "A Risk-Neutral Stochastic Volatility Model." International Journal of Theoretical and Applied Finance 01, no. 02 (April 1998): 289–310. http://dx.doi.org/10.1142/s0219024998000163.
Повний текст джерелаPAN, MIN, and SHENGQIAO TANG. "OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL." Asia-Pacific Journal of Operational Research 28, no. 01 (February 2011): 81–93. http://dx.doi.org/10.1142/s0217595911003065.
Повний текст джерелаBarndorff-Nielsen, O. E., and A. E. D. Veraart. "Stochastic Volatility of Volatility and Variance Risk Premia." Journal of Financial Econometrics 11, no. 1 (August 16, 2012): 1–46. http://dx.doi.org/10.1093/jjfinec/nbs008.
Повний текст джерелаWoerner, Jeannette H. C. "Estimation of integrated volatility in stochastic volatility models." Applied Stochastic Models in Business and Industry 21, no. 1 (January 2005): 27–44. http://dx.doi.org/10.1002/asmb.548.
Повний текст джерелаBerestycki, Henri, J�r�me Busca, and Igor Florent. "Computing the implied volatility in stochastic volatility models." Communications on Pure and Applied Mathematics 57, no. 10 (2004): 1352–73. http://dx.doi.org/10.1002/cpa.20039.
Повний текст джерелаDerman, Emanuel, and Iraj Kani. "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility." International Journal of Theoretical and Applied Finance 01, no. 01 (January 1998): 61–110. http://dx.doi.org/10.1142/s0219024998000059.
Повний текст джерелаJIANG, GEORGE J. "STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING." International Journal of Theoretical and Applied Finance 02, no. 04 (October 1999): 409–40. http://dx.doi.org/10.1142/s0219024999000212.
Повний текст джерелаLiu, Jia. "A Bayesian Semiparametric Realized Stochastic Volatility Model." Journal of Risk and Financial Management 14, no. 12 (December 19, 2021): 617. http://dx.doi.org/10.3390/jrfm14120617.
Повний текст джерелаYoon, Ji-Hun, Jeong-Hoon Kim, Sun-Yong Choi, and Youngchul Han. "Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model." Stochastics and Dynamics 17, no. 01 (December 15, 2016): 1750003. http://dx.doi.org/10.1142/s0219493717500034.
Повний текст джерелаVAN DER STOEP, ANTHONIE W., LECH A. GRZELAK, and CORNELIS W. OOSTERLEE. "COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 23, no. 06 (September 2020): 2050038. http://dx.doi.org/10.1142/s0219024920500387.
Повний текст джерелаFranco, Sebastian, and Anatoliy Swishchuk. "Pricing of Pseudo-Swaps Based on Pseudo-Statistics." Risks 11, no. 8 (August 3, 2023): 141. http://dx.doi.org/10.3390/risks11080141.
Повний текст джерелаZhang, Luwen, and Li Wang. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model." Journal of Risk and Financial Management 16, no. 8 (August 16, 2023): 377. http://dx.doi.org/10.3390/jrfm16080377.
Повний текст джерелаKouritzin, Michael A. "Microstructure Models with Short-Term Inertia and Stochastic Volatility." Mathematical Problems in Engineering 2015 (2015): 1–17. http://dx.doi.org/10.1155/2015/323475.
Повний текст джерелаDhifaoui, Zouhaier, and Faicel Gasmi. "Linear and nonlinear linkage of conditional stochastic volatility of interbank interest rates: Empirical evidence of the BRICS countries." BRICS Journal of Economics 2, no. 2 (July 30, 2021): 4–16. http://dx.doi.org/10.38050/2712-7508-2021-2-1.
Повний текст джерелаLi, Pengshi, and Jianhui Yang. "Pricing Collar Options with Stochastic Volatility." Discrete Dynamics in Nature and Society 2017 (2017): 1–7. http://dx.doi.org/10.1155/2017/9673630.
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