The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework

2018 ◽  
Vol 29 (3) ◽  
pp. 928-966 ◽  
Author(s):  
Andrea Barletta ◽  
Elisa Nicolato ◽  
Stefano Pagliarani
Keyword(s):  
Stochastic Volatility ◽  
Time Behavior ◽  
Short Time

scholarly journals A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

2008 ◽  
Vol 2008 ◽  
pp. 1-17 ◽  
Author(s):  
Elisa Alòs ◽  
Jorge A. León ◽  
Monique Pontier ◽  
Josep Vives
Keyword(s):  
Stochastic Volatility ◽  
Implied Volatility ◽  
Asset Price ◽  
Jump Diffusion ◽  
Stochastic Volatility Model ◽  
Time Behavior ◽  
Volatility Model ◽  
Jump Diffusion Model ◽  
White Type ◽  
Short Time

We obtain a Hull and White type formula for a general jump-diffusion stochastic volatility model, where the involved stochastic volatility process is correlated not only with the Brownian motion driving the asset price but also with the asset price jumps. Towards this end, we establish an anticipative Itô's formula, using Malliavin calculus techniques for Lévy processes on the canonical space. As an application, we show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew.

Short time behavior and universal relations in polymer cyclization

1991 ◽  
Vol 1 (4) ◽  
pp. 471-486 ◽  
Author(s):  
Barry Friedman ◽  
Ben O'Shaughnessy
Keyword(s):  
Time Behavior ◽  
Short Time

Short Time Behavior of Solutions to Linear and Nonlinear Schrödinger Equations

2008 ◽  
Vol 60 (5) ◽  
pp. 1168-1200 ◽  
Author(s):  
Michael Taylor
Keyword(s):  
Broad Class ◽  
Nonlinear Schrödinger Equations ◽  
Schrodinger Equations ◽  
Time Behavior ◽  
Schrödinger Equations ◽  
Nonlinear Schrödinger ◽  
Pinsky Phenomenon ◽  
Nonlinear Schrodinger Equations ◽  
Linear And Nonlinear ◽  
Short Time

AbstractWe examine the fine structure of the short time behavior of solutions to various linear and nonlinear Schrödinger equations ut = iΔu+q(u) on I×ℝn, with initial data u(0, x) = f (x). Particular attention is paid to cases where f is piecewise smooth, with jump across an (n−1)-dimensional surface. We give detailed analyses of Gibbs-like phenomena and also focusing effects, including analogues of the Pinsky phenomenon. We give results for general n in the linear case. We also have detailed analyses for a broad class of nonlinear equations when n = 1 and 2, with emphasis on the analysis of the first order correction to the solution of the corresponding linear equation. This work complements estimates on the error in this approximation.

Sign in / Sign up

Export Citation Format

Share Document