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Language: en
Pages: 30
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Type: BOOK - Published: 2003-06-01 - Publisher: International Monetary Fund
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Ca
Language: en
Pages: 520
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Type: BOOK - Published: 2015-12-16 - Publisher: CRC Press
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of d
Language: en
Pages: 219
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Type: BOOK - Published: 2008 - Publisher: Universal-Publishers
The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its
Language: en
Pages: 566
Pages: 566
Type: BOOK - Published: 2012-03-22 - Publisher: John Wiley & Sons
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication
Language: en
Pages: 456
Pages: 456
Type: BOOK - Published: 2011-09-29 - Publisher: Cambridge University Press
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedgin
