Local volatility

Results: 96



#Item
21Workshop on estimating and interpreting probability density functions 14 June 1999 Background note P H Kevin Chang and William R Melick Starting in the late 1980s, financial and economic researchers became increasingly

Workshop on estimating and interpreting probability density functions 14 June 1999 Background note P H Kevin Chang and William R Melick Starting in the late 1980s, financial and economic researchers became increasingly

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Source URL: www.bis.org

Language: English - Date: 2005-12-12 06:16:57
22Options / Investment / Stochastic volatility / Volatility smile / Implied volatility / Volatility / Heston model / Black–Scholes / Local volatility / Mathematical finance / Financial economics / Finance

TESTING TECHNIQUES FOR ESTIMATING IMPLIED RNDS FROM THE PRICES OF EUROPEAN-STYLE OPTIONS Abstract: This paper examines two approaches to estimating implied risk-neutral probability density functions from the prices of Eu

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Source URL: www.bis.org

Language: English - Date: 2005-12-12 06:16:57
23Financial Market Volatility

Financial Market Volatility

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Source URL: www.rba.gov.au

Language: English - Date: 2014-08-07 18:05:47
24Box A: Volatility in Global Financial Markets Volatility in financial markets declined over the five years to mid 2007, before rising as problems in the US sub-prime market began to mount (Graph A1).1 For much of the fol

Box A: Volatility in Global Financial Markets Volatility in financial markets declined over the five years to mid 2007, before rising as problems in the US sub-prime market began to mount (Graph A1).1 For much of the fol

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Source URL: www.rba.gov.au

Language: English - Date: 2009-08-09 20:34:58
25Introduction Stochastic Volatility CEV Numerical Implementation

Introduction Stochastic Volatility CEV Numerical Implementation

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-25 08:40:48
26A Delay Financial Model with Stochastic Volatility; Martingale Method Jeong-Hoon Kim1 and Min-Ku Lee2 1,2 Department of Mathematics, Yonsei University, Seoul[removed], Korea

A Delay Financial Model with Stochastic Volatility; Martingale Method Jeong-Hoon Kim1 and Min-Ku Lee2 1,2 Department of Mathematics, Yonsei University, Seoul[removed], Korea

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-20 11:46:30
27A Convex-Regularization Framework for Local-Volatility Calibration in Derivative Markets Jorge P. Zubelli IMPA Joint work with A. De Cezaro (FURG,Brazil)

A Convex-Regularization Framework for Local-Volatility Calibration in Derivative Markets Jorge P. Zubelli IMPA Joint work with A. De Cezaro (FURG,Brazil)

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-21 10:57:40
28Local Volatility Pricing Models for Long-Dated FX Derivatives G. Deelstra, G. Rayee Universit´ e Libre de Bruxelles [removed]

Local Volatility Pricing Models for Long-Dated FX Derivatives G. Deelstra, G. Rayee Universit´ e Libre de Bruxelles [removed]

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-20 11:40:29
29Introduction One expansion, Two approaches Numerical tests

Introduction One expansion, Two approaches Numerical tests

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-26 11:01:16
30Tangent L´evy Models Sergey Nadtochiy (joint work with Ren´e Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford

Tangent L´evy Models Sergey Nadtochiy (joint work with Ren´e Carmona) Oxford-Man Institute of Quantitative Finance University of Oxford

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-19 08:43:27