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117
A fast meanreverting correction to heston’s stochastic volatility model
 SIAM Journal on Financial Mathematics
, 2011
"... Abstract. We propose a multiscale stochastic volatility model in which a fast meanreverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing for ..."
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Cited by 7 (1 self)
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Abstract. We propose a multiscale stochastic volatility model in which a fast meanreverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing
Rangebased estimation of stochastic volatility models
, 2002
"... We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that rangebased volatility proxies are not only highly efficient, but also approximately Gaussian and robust to microstructure noise. Hence rangebased Gaussian qu ..."
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Cited by 223 (19 self)
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persistent factor and one quickly meanreverting factor. VOLATILITY IS A CENTRAL CONCEPT in finance, whether in asset pricing, portfolio choice, or risk management. Not long ago, theoretical models routinely assumed constant volatility ~e.g., Merton ~1969!, Black and Scholes ~1973!!. Today, however, we
Smalltime asymptotics for fast meanreverting stochastic volatility models
, 2010
"... In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the meanreversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB type equations where the “fast variable ..."
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Cited by 5 (0 self)
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In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the meanreversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization problems for nonlinear HJB type equations where the “fast
An empirical application of a twofactor model of stochastic volatility
"... This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a twofactor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily ..."
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of the daily range is employed as the proxy. The estimation of parameters and volatility extraction are performed using the Kalman filter. We have obtained a meaningful decomposition of the volatility process into one highly persistent factor and another quickly meanreverting factor. Moreover, we have shown
Calibration and Model Uncertainty of a Two Factor MeanReverting Diffusion Model for Commodity Prices
, 2013
"... I hereby declare that I am the sole author of this thesis. This is a true copy of the thesis, including any required final revisions, as accepted by my examiners. I understand that my thesis may be made electronically available to the public. ..."
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I hereby declare that I am the sole author of this thesis. This is a true copy of the thesis, including any required final revisions, as accepted by my examiners. I understand that my thesis may be made electronically available to the public.
Testing ContinuousTime Models of the Spot Interest Rate
 Review of Financial Studies
, 1996
"... Different continuoustime models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuoustime model by discrete approximations, even though the data are rec ..."
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Cited by 310 (9 self)
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are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then meanreverts strongly when far away from the mean. The volatility
An Affine Model of Long Maturity Forward rates, with Predictable Risk Premium
, 2003
"... Distantly maturing forward rates represent the markets long term (risk neutral) expectations about interest rates. As such, they are the fundamental ingredient of the pricing kernel. In most equilibrium models, interest rates mean revert, and long forward rates are asymptotically constant. However, ..."
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, tightly mean reverting factor. We verify this predictable behavior in the STRIPs data, and also in T Bond futures data. We also show that in principle, this predictability can be exploited for profit in the T Bond futures market. Our model also includes the notion that this predictability is not present
A Mean Reverting Process for Pricing Treasury Bills and Futures Contracts
 Proceedings of the 2nd AFIR Colloquium 1(1990
"... Summary This paper develops a discrete time single factor model for consistently valuing treasury bills or similar instruments, and futures contracts written against them. A multiplicative binomial process with reversion to the mean describes spot rate evolution. Interest rates can become neither n ..."
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Cited by 1 (0 self)
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Summary This paper develops a discrete time single factor model for consistently valuing treasury bills or similar instruments, and futures contracts written against them. A multiplicative binomial process with reversion to the mean describes spot rate evolution. Interest rates can become neither
Short maturity asymptotics for a fast mean reverting Heston stochastic volatility model,”
 SIAM Journal on Financial Mathematics,
, 2010
"... Abstract. In this paper, we study the Heston stochastic volatility model in a regime where the maturity is small but large compared to the meanreversion time of the stochastic volatility factor. We derive a large deviation principle and compute the rate function by a precise study of the moment ge ..."
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Cited by 16 (2 self)
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Abstract. In this paper, we study the Heston stochastic volatility model in a regime where the maturity is small but large compared to the meanreversion time of the stochastic volatility factor. We derive a large deviation principle and compute the rate function by a precise study of the moment
Do Real Exchange Rates Follow a NonLinear Mean Reverting Process in Developing Countries?
"... In an effort to fight relatively high inflation, many developing countries try to manage their nominal exchange rates through official intervention. In addition, developing countries tend to have high transportation costs, tariffs and nontariff barriers. These factors are among the sources of gener ..."
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In an effort to fight relatively high inflation, many developing countries try to manage their nominal exchange rates through official intervention. In addition, developing countries tend to have high transportation costs, tariffs and nontariff barriers. These factors are among the sources
Results 1  10
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117