Results 1  10
of
712
MeanReverting Stochastic Volatility
, 2000
"... We present derivative pricing and estimation tools for a class of stochastic volatility models that exploit the observed "bursty" or persistent nature of stock price volatility. An empirical analysis of highfrequency S&P 500 index data confirms that volatility reverts slowly to its me ..."
Abstract

Cited by 40 (10 self)
 Add to MetaCart
mean in comparison to the tickbytick fluctuations of the index value, but it is fast meanreverting when looked at over the time scale of a derivative contract (many months). This motivates an asymptotic analysis of the partial differential equation satisfied by derivative prices, utilizing
Are the Nordic Stock Markets Mean Reverting?
, 2001
"... In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 19471998. By simply account for the heteroscedasticity of the data with a regimeswitching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no sup ..."
Abstract
 Add to MetaCart
In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 19471998. By simply account for the heteroscedasticity of the data with a regimeswitching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find
A Generalized MeanReverting Equation and Applications
 ESAIM:PS
"... Abstract. Consider a meanreverting equation, generalized in the sense it is driven by a 1dimensional centered Gaussian process with Hölder continuous paths on [0, T] (T> 0). Taking that equation in rough paths sense only gives local existence of the solution because the nonexplosion condition ..."
Abstract

Cited by 3 (3 self)
 Add to MetaCart
Abstract. Consider a meanreverting equation, generalized in the sense it is driven by a 1dimensional centered Gaussian process with Hölder continuous paths on [0, T] (T> 0). Taking that equation in rough paths sense only gives local existence of the solution because the nonexplosion condition
Maximum likelihood estimation of mean reverting processes
"... Mean reverting processes are frequently used models in real options. For instance, some commodity prices (or their logarithms) are frequently believed to revert to some level associated with marginal production costs. Fundamental parameter knowledge, based on economic analysis of the forces at play, ..."
Abstract

Cited by 1 (0 self)
 Add to MetaCart
Mean reverting processes are frequently used models in real options. For instance, some commodity prices (or their logarithms) are frequently believed to revert to some level associated with marginal production costs. Fundamental parameter knowledge, based on economic analysis of the forces at play
AN OPTIMAL TRADING RULE OF A MEANREVERTING ASSET
"... Abstract. This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by meanreverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB eq ..."
Abstract

Cited by 1 (0 self)
 Add to MetaCart
Abstract. This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by meanreverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB
A MeanReverting SDE on Correlation Matrices
, 2012
"... We introduce a meanreverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the wellknown WrightFisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We also ..."
Abstract
 Add to MetaCart
We introduce a meanreverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the wellknown WrightFisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We
Investing in a Real World With MeanReverting Inflation
"... People are concerned about maintaining purchasing power in times of rising ination. We formulate investment objectives in terms of real wealth, assuming investors derive utility from the number of goods they can buy with their monetary wealth. We derive closedform solutions for the portfolio choice ..."
Abstract
 Add to MetaCart
choice problem of constant relative risk averse investors, under the assumption that ination rates are meanreverting. We consider alternative specications for the ination compensation offered by the available assets, in order to study the effect on portfolio choice and welfare. Moreover, we study
IOS Press Optimizing sparse mean reverting portfolios
"... Abstract. In this paper we investigate trading with optimal mean reverting portfolios subject to cardinality constraints. First, we identify the parameters of the underlying VAR(1) model of asset prices and then the quantities of the corresponding OrnsteinUhlenbeck (OU) process are estimated by pat ..."
Abstract
 Add to MetaCart
Abstract. In this paper we investigate trading with optimal mean reverting portfolios subject to cardinality constraints. First, we identify the parameters of the underlying VAR(1) model of asset prices and then the quantities of the corresponding OrnsteinUhlenbeck (OU) process are estimated
Downside Risk of Derivative Portfolios with MeanReverting Underlyings
"... We carry out a MonteCarlo simulation of a standard portfolio management strategy involving derivatives, to estimate the sensitivity of its downside risk to a change of meanreversion of the underlyings. We find that the higher the intensity of meanreversion, the lower the probability of reaching a ..."
Abstract
 Add to MetaCart
We carry out a MonteCarlo simulation of a standard portfolio management strategy involving derivatives, to estimate the sensitivity of its downside risk to a change of meanreversion of the underlyings. We find that the higher the intensity of meanreversion, the lower the probability of reaching
Results 1  10
of
712