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Stochastic volatility
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391	A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS CLAUDIO ALBANESE AND MANLIO TROVATO Abstract. It is widely recognized that fixed income exotics should be priced by means of a stochastic volatil Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:17 Investment Volatility smile Implied volatility Swaption Volatility Hull–White model Local volatility Interest rate derivative Stochastic volatility Mathematical finance Financial economics Finance
392	Non stationary variance and Volatility Causality Add to Reading List Source URL: 193.49.79.89 Language: English - Date: 2014-06-16 07:35:51 Time series analysis Technical analysis Autoregressive conditional heteroskedasticity Volatility Variance Vector autoregression Normal distribution Stochastic volatility Statistics Mathematical finance Econometrics
393	International Capital Markets Structure, Preferences and Puzzles: A “US-China World” G.M. CAPORALE, M. DONADELLI and A. VARANI∗ Abstract A canonical two country-two good model with standard preferences typically fa Add to Reading List Source URL: www.cass.city.ac.uk Language: English - Date: 2015-03-02 11:01:24 International finance Financial economics Finance Backus–Kehoe–Kydland puzzle Equity premium puzzle Backus–Smith puzzle Volatility Financial risk Stochastic volatility Economic puzzles Economics Mathematical finance
394 $Finance / Stochastic volatility / Volatility / Economic model / Autoregressive conditional heteroskedasticity / Markov chain / Markov switching multifractal / SABR volatility model / Mathematical finance / Statistics / Financial economics$	WORKING PAPER NO[removed]ESTIMATING DYNAMIC EQUILIBRIUM MODELS WITH STOCHASTIC VOLATILITY Jesús Fernández-Villaverde University of Pennsylvania and Visiting Scholar, Federal Reserve Bank of Philadelphia Add to Reading List Source URL: www.philadelphiafed.org Language: English - Date: 2013-05-10 14:52:30 Finance Stochastic volatility Volatility Economic model Autoregressive conditional heteroskedasticity Markov chain Markov switching multifractal SABR volatility model Mathematical finance Statistics Financial economics
395	Microsoft Word - EABCN 19th School_EUI_andersen_2013_06.doc Add to Reading List Source URL: www.eabcn.org Language: English - Date: 2013-07-18 08:03:26 Finance Volatility Implied volatility Stochastic volatility Autoregressive conditional heteroskedasticity Volatility smile VIX Mathematical finance Financial economics Statistics
396	SPECTRAL METHODS FOR VOLATILITY DERIVATIVES ´ CLAUDIO ALBANESE, HARRY LO, AND ALEKSANDAR MIJATOVIC Abstract. In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:26 Investment Implied volatility Volatility swap Variance swap Volatility VIX Stochastic volatility Local volatility Conditional variance swap Mathematical finance Financial economics Finance
397	MOMENT METHODS FOR EXOTIC VOLATILITY DERIVATIVES CLAUDIO ALBANESE AND ADEL OSSEIRAN Abstract. The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price real Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Financial economics Variance swap Volatility Normal distribution Log-normal distribution Realized variance Stochastic volatility Conditional variance swap Ornstein–Uhlenbeck process Statistics Mathematical finance Finance
398	Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models Artur Sepp Bank of America Merrill Lynch, London [removed] Global Derivatives Trading & Risk Manag Add to Reading List Source URL: math.ut.ee Language: English - Date: 2014-06-13 01:20:50 Investment Local volatility Stochastic volatility Volatility VIX Implied volatility Option Volatility smile Mathematical finance Financial economics Finance
399	Realized Jumps on Financial Markets and Predicting Credit Spreads Add to Reading List Source URL: www.federalreserve.gov Language: English - Date: 2006-10-24 13:00:39 Finance Volatility Realized variance Jump diffusion Local volatility Autoregressive conditional heteroskedasticity Implied volatility Jump process Stochastic volatility Mathematical finance Statistics Financial economics
400	E U RO P E A N C E N T R A L B A N K Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2003-11-28 10:19:54 Economics Stochastic volatility Yield curve Volatility Economic model Binomial options pricing model Hull–White model Vasicek model Mathematical finance Financial economics Finance

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