Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three ...

This paper introduces stochastic volatility to the Libor market model of interest rate dynamics. As in Andersen and Andreasen (2000a) we allow for nonparametric volatility structures with freely ...

This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the "square root" specification of the mainstream finance literature. Empirically, ...

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness ...

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

• Ahsan, M. N. and Dufour, J-M. (2019). “A simple efficient moment-based estimator for the stochastic volatility model,” Advances in Econometrics. Vol. 40A, pp ...

Testing several approaches for implied volatility modeling and forecasting. Design/methodology/approach – Comparative ...

Whether the financial markets are turbulent or calm, the subject of volatility has been of great interest to quants for decades. Some of the pioneering research was published in the mid-1990s, ...