Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications

2013 ◽  
Vol 67 (2) ◽  
pp. 321-350 ◽  
Author(s):  
J. D. Deuschel ◽  
P. K. Friz ◽  
A. Jacquier ◽  
S. Violante
Keyword(s):  
Stochastic Volatility ◽  
Marginal Density ◽  
Density Expansions

scholarly journals SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

2009 ◽  
Vol 12 (03) ◽  
pp. 283-295 ◽  
Author(s):  
REIICHIRO KAWAI
Keyword(s):  
Stochastic Volatility ◽  
Heavy Tails ◽  
Stochastic Volatility Model ◽  
Price Dynamics ◽  
Marginal Density ◽  
The Past ◽  
Sensitivity Indices ◽  
Volatility Model ◽  
Backward Equation ◽  
Volatility Function

Monte Carlo estimators of sensitivity indices and the marginal density of the price dynamics are derived for the Hobson-Rogers stochastic volatility model. Our approach is based mainly upon the Kolmogorov backward equation by making full use of the Markovian property of the dynamics given the past information. Some numerical examples are presented with a GARCH-like volatility function and its extension to illustrate the effectiveness of our formulae together with a clear exhibition of the skewness and the heavy tails of the price dynamics.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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