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Stochastic volatility
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361	JUMP PROCESSES IN FINANCE: MODELING, SIMULATION, INFERENCE AND PRICING by Viktor Todorov Department of Economics Add to Reading List Source URL: www.amstat.org Language: English - Date: 2008-09-04 07:25:00 Statistics Stochastic volatility Volatility Jump diffusion Variance risk premium VIX Jump process Quantitative analyst Mathematical finance Finance Financial economics
362	Conditional Gauss-Hermite Filtering with Application to Volatility Estimation Add to Reading List Source URL: www.fernuni-hagen.de Language: English - Date: 2011-11-29 06:50:38 Control theory Estimation theory Data analysis Normal distribution Independence Filtering problem Multivariate normal distribution Standard deviation Kalman filter Statistics Stochastic differential equations Probability theory
363	Fast strong approximation Monte-Carlo schemes for stochastic volatility models Christian Kahl∗ First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2006-07-24 11:58:41 Financial economics Mathematical sciences Options Stochastic differential equations Differential equations Ornstein–Uhlenbeck process Stochastic volatility Volatility Euler–Maruyama method Statistics Mathematical finance Stochastic processes
364	Quanto Skew Peter J¨ackel∗ First version: 25th July 2009 This version: 19th April[removed]Abstract Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2010-04-19 08:57:05 Finance Investment Implied volatility Volatility smile Quanto Volatility Stochastic volatility Local volatility Foreign-exchange option Financial economics Mathematical finance Options
365	Peter J¨ackel∗ and Christian Kahl† Hyp Hyp Hooray First version: This version: Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2010-01-04 18:59:06 Finance Volatility Implied volatility Local volatility Stochastic volatility Stochastic differential equation Heston model Variance swap Log-normal distribution Mathematical finance Statistics Financial economics
366	Quanto Skew with stochastic volatility Peter J¨ackel∗ First version: This version: 29th March 2010 Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2010-04-19 18:55:44 Finance Investment Volatility smile Implied volatility Quanto Volatility Stochastic volatility Local volatility Black–Scholes Financial economics Mathematical finance Options
367	Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications. Peter J¨ackel∗ Riccardo Rebonato† Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2001-11-15 18:55:32 Finance Investment Volatility smile Volatility Implied volatility Local volatility Stochastic volatility Black–Scholes Moneyness Financial economics Mathematical finance Options
368	SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-03-14 14:09:43 Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance
369	Stochastic Volatility Models: Past, Present and Future ∗ ¨ Peter Jackel Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-03-14 14:09:01 Options Investment Technical analysis Stochastic volatility Volatility Interest rate derivative Volatility smile Local volatility Mathematical finance Financial economics Finance
370	Cyclical Volatility for FX Add to Reading List Source URL: www.efm.bris.ac.uk Language: English - Date: 2012-02-17 10:07:07 Economics Stochastic volatility Realized variance Volatility Autoregressive conditional heteroskedasticity Time series VIX Mathematical finance Financial economics Finance

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