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Stochastic volatility
Results: 470

#	Item
411	Unobserved Component Model for Forecasting Electricity Prices and Their Volatilities Carolina García-Martos, Julio Rodríguez and María Jesús Sánchez∗ Abstract Add to Reading List Source URL: forecasters.org Language: English - Date: 2009-12-10 11:11:16 Mathematical sciences Options Markov models Stochastic volatility Volatility Autoregressive conditional heteroskedasticity Electricity market Markov chain Forecasting Statistics Mathematical finance Time series analysis
412 $Statistics / Volatility / Autoregressive conditional heteroskedasticity / Stochastic volatility / Realized variance / Time series / Markov switching multifractal / Mathematical finance / Financial economics / Finance$	M PRA Munich Personal RePEc Archive Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure Add to Reading List Source URL: mpra.ub.uni-muenchen.de Language: English - Date: 2013-02-11 17:57:22 Statistics Volatility Autoregressive conditional heteroskedasticity Stochastic volatility Realized variance Time series Markov switching multifractal Mathematical finance Financial economics Finance
413	M PRA Munich Personal RePEc Archive Garch Parameter Estimation Using High-Frequency Data Marcel P. Visser Add to Reading List Source URL: mpra.ub.uni-muenchen.de Language: English - Date: 2013-02-11 17:58:16 Statistical theory Statistical inference Econometrics Stochastic volatility Autoregressive conditional heteroskedasticity Maximum likelihood Volatility Bias of an estimator Estimator Statistics Mathematical finance Estimation theory
414	January 4, [removed]:38 WSPC/S0218-1274 Add to Reading List Source URL: www.collective-behavior.com Language: English - Date: 2014-06-04 01:05:31 Statistical models Fractals Econometrics Power law Brownian motion Autoregressive conditional heteroskedasticity Mathematical model Economic model Stochastic volatility Statistics Stochastic processes Mathematical finance
415	Demand-Based Option Pricing Nicolae Gˆarleanu University of California at Berkeley, CEPR, and NBER Lasse Heje Pedersen New York University, CEPR, and NBER Allen M. Poteshman Add to Reading List Source URL: people.stern.nyu.edu Language: English - Date: 2010-02-07 17:25:57 Options Investment Black–Scholes Implied volatility Risk-neutral measure Forward contract Futures contract Stochastic volatility Volatility smile Financial economics Mathematical finance Finance
416	Quanto Skew Peter J¨ackel∗ First version: 25th July 2009 This version: 19th April[removed]Abstract Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:34 Finance Investment Implied volatility Volatility smile Quanto Volatility Stochastic volatility Local volatility Foreign-exchange option Financial economics Mathematical finance Options
417	Quanto Skew with stochastic volatility Peter J¨ackel∗ First version: This version: 29th March 2010 Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:45:38 Finance Investment Volatility smile Implied volatility Quanto Volatility Stochastic volatility Local volatility Black–Scholes Financial economics Mathematical finance Options
418	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.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:24:32 Finance Investment Volatility smile Volatility Implied volatility Local volatility Stochastic volatility Black–Scholes Moneyness Financial economics Mathematical finance Options
419	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.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:11:37 Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance
420	Peter J¨ackel∗ and Christian Kahl† Hyp Hyp Hooray First version: This version: Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:12:05 Finance Volatility Implied volatility Local volatility Stochastic volatility Stochastic differential equation Heston model Variance swap Log-normal distribution Mathematical finance Statistics Financial economics

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