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Is No News Good News? Reconciling Evidence from ARCH and Stochastic Volatility Models

Is No News Good News? Reconciling Evidence from ARCH and Stochastic Volatility Models

Is No News Good News? Reconciling Evidence from ARCH and Stochastic Volatility Models. By Jun Yu Singapore Management University. Outline of Talk. Motivation and literature Our approach Estimation and inferential methods Empirical results Sensitivity check Conclusions.

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721 views • 52 slides
Model Free Results on Volatility Derivatives

Model Free Results on Volatility Derivatives

Model Free Results on Volatility Derivatives. Bruno Dupire Bloomberg NY SAMSI Research Triangle Park February 27, 2006. Outline. I VIX Pricing II Models III Lower Bound IV Conclusion. Historical Volatility Products. Historical variance: OTC products: Volatility swap Variance swap

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540 views • 41 slides
Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS

Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS

Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS Derivatives 2007: New Ideas, New Instruments, New markets NYU Stern School of Business, May 18, 2007. Agenda. Some Practical Aspects of Option Modelling:

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485 views • 39 slides
Models of Volatility Smiles II

Models of Volatility Smiles II

Models of Volatility Smiles II. Chapter 9: ADVANCED OPTION PRICING MODEL. Three Alternatives to Geometric Brownian Motion. Stochastic Volatility by Heston (1993) Implied Volatility Function Model by Andersen and Brotherton-Ratcliffe (1997/98)

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601 views • 23 slides
Mathematical issues with volatility modelling

Mathematical issues with volatility modelling

Mathematical issues with volatility modelling. Marek Musiela BNP Paribas. 25th May 2005. Contents. 1. Mixture models 2. Uncertain volatility models 3. Stochastic volatility models 4. Ergodicity 5. Selfsimilarity 6. What is mean reversion?. Motivation.

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395 views • 21 slides
Mathematical issues with volatility modelling

Mathematical issues with volatility modelling

Mathematical issues with volatility modelling. Marek Musiela BNP Paribas. 25th May 2005. Contents. 1. Mixture models 2. Uncertain volatility models 3. Stochastic volatility models 4. Ergodicity 5. Selfsimilarity 6. What is mean reversion?. Motivation.

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240 views • 21 slides
Can we reliably forecast individual 3G usage data?

Can we reliably forecast individual 3G usage data?

Cosmo Zheng. Can we reliably forecast individual 3G usage data?. An analysis using mathematical simulation of time series algorithms. Background. Fluctuations in daily demand for bandwidth make ordinary usage pricing inefficient

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256 views • 15 slides
Why attending this Program

Why attending this Program

Why attending this Program. Sharpening the quantitative skills in Pricing, hedging and risk measurement of derivative securities Implementing risk measurement and valuation models in software Developing the abilities in Identifying and monitoring risk in valuation models

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299 views • 15 slides
Volatility Models

Volatility Models

Fin250f: Lecture 5.2 Fall 2005 Reading: Taylor, chapter 9. Volatility Models. Outline. Stochastic volatility models ARCH(1) GARCH(1,1) GARCH(p,q) GJR and volatility asymmetry. Stochastic Volatility. Stochastic Volatility. Very straightforward Difficult to estimate Extensions:

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203 views • 11 slides

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