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Stochastic volatility
Results: 470

#	Item
181	Pricing Options on Variance in Affine Stochastic Volatility Models Johannes Muhle-Karbe Joint work with Jan Kallsen and Moritz Voß 6th World Congress of the Bachelier Finance Society Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-18 18:54:11 Stochastic processes Options Technical analysis Volatility Stochastic volatility Wiener process Characteristic function Statistics Mathematical finance Probability theory
182	Degenerate processes and degenerate parabolic PDEs Elliptic variational inequalities for the Heston operator Parabolic variational inequalities for the Heston operator American-style options, stochastic volatility, and d Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-23 10:04:20 Calculus of variations Differential equations Obstacle problem Parabolic partial differential equation Variational inequality Heston Stochastic volatility Calculus Mathematical analysis Partial differential equations
183	Continuous time option pricing with scheduled jumps in the underlying asset by Dmitry Storcheus and Sergey Gelman discussed by Mikhail Chernov (LSE and CEPR) Add to Reading List Source URL: www.hse.ru Language: English - Date: 2011-12-22 01:02:41 Finance Investment Volatility Implied volatility Black–Scholes Stochastic volatility Volatility smile Mathematical finance Financial economics Options
184	Three make a dynamic smile unspanned skewness and interacting volatility components in option valuation Peter H. Gruber1 , Claudio Tebaldi2 and Fabio Trojani1 June 25, 2010 6th World Congress of the Bachelier Finance soc Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-21 11:04:58 Finance Economics Volatility Stochastic volatility Economic model Macroeconomic model Stochastic Mathematical finance Financial economics Options
185	Continuous time option pricing with scheduled jumps in the underlying asset Dmitry Storcheus Sergey Gelman Add to Reading List Source URL: www.hse.ru Language: English - Date: 2011-12-21 02:46:58 Finance Stochastic processes Equations Investment Black–Scholes ICEF Risk-neutral measure Implied volatility National Research University Higher School of Economics Mathematical finance Financial economics Options
186	Arbitrage opportunities in misspecified stochastic volatility models Rudra P. Jena Peter Tankov Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-19 08:37:13 Investment Volatility Stochastic volatility Implied volatility VIX Black–Scholes Option Mathematical finance Financial economics Finance
187	Proceedings of the World Congress on Engineering 2011 Vol I WCE 2011, July 6 - 8, 2011, London, U.K. Pricing of Volatility Derivatives using 3/2Stochastic Models Joanna Goard Add to Reading List Source URL: www.iaeng.org Language: English - Date: 2011-05-08 20:24:43 Financial economics Variance swap VIX Stochastic volatility Volatility Heston model Implied volatility Geometric Brownian motion Autoregressive conditional heteroskedasticity Mathematical finance Statistics Finance
188	Page 1 CMS-Spread Options and Correlation calibration \| June 26th, 2010 \| Matthias Lutz Efficient Pricing of CMS Spread Options in a Stochastic Volatility Libor Market Model Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-20 12:09:21 Stochastic volatility LIBOR market model Mathematical finance Financial economics Finance
189	Forward equations for option prices A forward PIDE for option prices Exemples and Applications Forward equations for option prices in semimartingale models Add to Reading List Source URL: www.fields.utoronto.ca Language: English - Date: 2010-06-26 09:00:10 Finance Equations Stochastic processes Differential equations Black–Scholes Partial differential equation Stochastic volatility Forward contract Volatility Financial economics Mathematical finance Options
190	Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest Reiner Franke a Frank Westerhoff b,∗ October 2011 a Add to Reading List Source URL: www.uni-bamberg.de Language: English - Date: 2011-11-08 06:13:47 Mathematical sciences Volatility Stochastic volatility Markov chain Economic model Discrete choice Mathematical model Mathematical finance Statistics Economics

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