'Stochastic volatility' presentation slideshows

Modeling Risk Factors

Modeling Risk Factors. Introduction. Risk ? Volatility ? Measure of dispersion Most used distributions: Normal and Log-Normal Stylized facts ? empirical distribution is not normal. Normal Distribution. It is easy Stable under addition: sum of normal random variables is normal

1.2k views • 79 slides

Mean-Reverting Models in Financial and Energy Markets

Mean-Reverting Models in Financial and Energy Markets. Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and Statistics, U of C Colloquium Thursday, March 31, 2005. Outline. Mean-Reverting Models (MRM): Deterministic vs. Stochastic

1.04k views • 66 slides

Market Risk Management using Stochastic Volatility Models

781 views • 61 slides

Market Risk Management using Stochastic Volatility Models

629 views • 61 slides

Carbon Phase II Density Applications using General Scientific Stochastic Volatility Models by

Carbon Phase II Density Applications using General Scientific Stochastic Volatility Models by Professor Per B Solibakke a Nord Pool Application: Carbon Front December Future Contracts a) Department of Economics, Molde University College.

581 views • 58 slides

Scientific Carbon Stochastic Volatility Model Estimation and Inference:

Scientific Carbon Stochastic Volatility Model Estimation and Inference: Forecasting (Un-)Conditional Moments for Options Applications by Per Bjarte Solibakke a a) Department of Economics, Molde University College. Background and Outline

609 views • 46 slides

Stochastic Volatility Models The Nord Pool Energy Market by Per Bjarte Solibakke

Stochastic Volatility Models The Nord Pool Energy Market by Per Bjarte Solibakke Department of Economics, Molde University College. Stochastic Volatility: Origins and Overview.

562 views • 42 slides

Managing the Newest Derivatives Risks Michel Crouhy

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:

580 views • 39 slides

Rational Shapes of the Volatility Surface

462 views • 37 slides

Hwai-Chung Ho Academia Sinica and National Taiwan University

A Stochastic Volatility Model for Reserving Long-Duration Equity-linked Insurance: Long-Memory v.s. Short-Memory. Hwai-Chung Ho Academia Sinica and National Taiwan University December 30, 2008

498 views • 37 slides

New Trends in Energy Derivatives

New Trends in Energy Derivatives. Alexander Eydeland Morgan Stanley. Increased interest in commodity-linked products: the investors point of view. spectacular returns in the last few years diversification

460 views • 33 slides

446 views • 24 slides

Pricing Derivative Financial Products: Linear Programming (LP) Formulation

Pricing Derivative Financial Products: Linear Programming (LP) Formulation. Donald C. Williams Doctoral Candidate Department of Computational and Applied Mathematics, Rice University Thesis Advisors Dr. Richard A. Tapia, Department of Computational and Applied Mathematics

437 views • 23 slides

Dissertation paper

Dissertation paper. Modelling and Forecasting Volatility Index based on the stochastic volatility models. MSc Student: LAVINIA-ROXANA DAVID Supervisor: Professor MOISA ALTAR, PhD. Bucharest, 2006. Goals.

378 views • 21 slides

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.

395 views • 21 slides

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.

240 views • 21 slides

Welcome to Architect Insight 2009

Welcome to Architect Insight 2009. What does Mickey Mouse have to tell us about the Cloud? . Why bother with the cloud?. The opportunity from cloud computing is to: Private cloud will be worth $20 billion dollars in 2012

279 views • 15 slides

Chapter 13

Chapter 13. Empirical Evidence on Security Returns. Overview of Investigation. Tests of the single factor CAPM or APT Model Tests of the Multifactor APT Model Results are difficult to interpret Studies on volatility of returns over time . Tests of the Single Factor Model.

461 views • 14 slides

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:

203 views • 11 slides

A potentially interesting paper Summary:

Discussion for Chen and Gau (2004) : Pricing Currency Options under Stochastic Volatility by Yaw-huei Wang. A potentially interesting paper Summary: Motivation: A lognormal density fails to fit market prices.

113 views • 2 slides