Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

Applied Quantitative Methods for Trading and Investment ◽

10.1002/0470013265.ch8 ◽

2005 ◽

pp. 239-291 ◽

Cited By ~ 1

Author(s):

Monica Billio ◽

Domenico Sartore

Keyword(s):

At Risk ◽

Option Pricing ◽

Stochastic Volatility ◽

Value At Risk ◽

Stochastic Volatility Models ◽

Volatility Models

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Value at risk estimation under stochastic volatility models using adaptive PMCMC methods

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2016.1235188 ◽

2017 ◽

Vol 46 (9) ◽

pp. 7221-7237 ◽

Cited By ~ 1

Author(s):

Xinxia Yang ◽

Ratthachat Chatpatanasiri ◽

Pairote Sattayatham

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Risk Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

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Singular Spectrum Analysis for Value at Risk in Stochastic Volatility models

Journal of Forecasting ◽

10.1002/for.2796 ◽

2021 ◽

Author(s):

Josu Arteche ◽

Javier García‐Enríquez

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Spectrum Analysis ◽

Value At Risk ◽

Singular Spectrum Analysis ◽

Stochastic Volatility Models ◽

Singular Spectrum ◽

Volatility Models

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Forecasting Value-at-Risk using block structure multivariate stochastic volatility models

International Review of Economics & Finance ◽

10.1016/j.iref.2015.02.004 ◽

2015 ◽

Vol 40 ◽

pp. 40-50 ◽

Cited By ~ 4

Author(s):

Manabu Asai ◽

Massimiliano Caporin ◽

Michael McAleer

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Block Structure ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

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Nonlinear filtering of asymmetric stochastic volatility models and Value-at-Risk estimation

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924089 ◽

2014 ◽

Cited By ~ 3

Author(s):

Nikolay Y. Nikolaev ◽

Lilian M. de Menezes ◽

Evgueni Smirnov

Keyword(s):

At Risk ◽

Stochastic Volatility ◽

Value At Risk ◽

Nonlinear Filtering ◽

Risk Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

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Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

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A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.1123505 ◽

2010 ◽

Author(s):

Junye Li ◽

Carlo A. Favero ◽

Fulvio Ortu

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Spectral Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

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Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion

SIAM Journal on Financial Mathematics ◽

10.1137/110848682 ◽

2014 ◽

Vol 5 (1) ◽

pp. 729-752 ◽

Cited By ~ 1

Author(s):

S. M. Ould Aly

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Cited By ~ 5

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

Uniform Grids

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High-order ADI scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.09.040 ◽

2017 ◽

Vol 316 ◽

pp. 109-121 ◽

Cited By ~ 9

Author(s):

Bertram Düring ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1646885 ◽

2010 ◽

Cited By ~ 3

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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