Stochastic Volatility - Articles - Scientific Research Publishing

The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Open Journal of Applied Sciences Vol.4 No.2，February 20, 2014

DOI: 10.4236/ojapps.2014.42004 6,472 Downloads 9,920 Views Citations
Pricing and Hedging in Stochastic Volatility Regime Switching Models (Articles)

Stéphane Goutte

Journal of Mathematical Finance Vol.3 No.1，February 26, 2013

DOI: 10.4236/jmf.2013.31006 4,744 Downloads 8,374 Views Citations
Some Explicit Formulae for the Hull and White Stochastic Volatility Model (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Int'l J. of Modern Nonlinear Theory and Application Vol.2 No.1，March 13, 2013

DOI: 10.4236/ijmnta.2013.21003 6,165 Downloads 11,293 Views Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2，May 31, 2017

DOI: 10.4236/jmf.2017.72026 1,721 Downloads 3,497 Views Citations
Estimation of Stochastic Volatility with a Compensated Poisson Jump Using Quadratic Variation (Articles)

Perpetual Saah Andam, Joseph Ackora-Prah, Sure Mataramvura

Applied Mathematics Vol.8 No.7，July 27, 2017

DOI: 10.4236/am.2017.87077 787 Downloads 1,673 Views Citations
Optimal Entry and Exit Strategy under Uncertainty with Stochastic Volatility (Articles)

Jinwu Huang

Journal of Mathematical Finance Vol.10 No.1，February 26, 2020

DOI: 10.4236/jmf.2020.101011 548 Downloads 1,056 Views Citations
Stochastic Volatility Jump-Diffusion Model for Option Pricing (Articles)

Nonthiya Makate, Pairote Sattayatham

Journal of Mathematical Finance Vol.1 No.3，November 8, 2011

DOI: 10.4236/jmf.2011.13012 5,086 Downloads 11,441 Views Citations
Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications (Articles)

Oleksandr Zhylyevskyy

Theoretical Economics Letters Vol.2 No.4，November 1, 2012

DOI: 10.4236/tel.2012.24074 4,272 Downloads 6,822 Views Citations
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Mathematical Finance Vol.3 No.1，February 26, 2013

DOI: 10.4236/jmf.2013.31002 6,455 Downloads 12,018 Views Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Applied Mathematics and Physics Vol.2 No.7，June 13, 2014

DOI: 10.4236/jamp.2014.27062 4,728 Downloads 6,572 Views Citations
Option Pricing with Stochastic Volatility (Articles)

Rossano Giandomenico

Journal of Applied Mathematics and Physics Vol.3 No.12，December 25, 2015

DOI: 10.4236/jamp.2015.312189 2,442 Downloads 3,298 Views Citations
Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility (Articles)

Daiki Maki

Open Journal of Statistics Vol.6 No.5，October 8, 2016

DOI: 10.4236/ojs.2016.65064 1,441 Downloads 2,264 Views Citations
Valuating New Product Development Project with a Stochastic Volatility Model (Articles)

Chengru Hu, Chulhee Jun, Maggie Foley

Journal of Mathematical Finance Vol.6 No.5，November 30, 2016

DOI: 10.4236/jmf.2016.65064 1,446 Downloads 2,908 Views Citations
Nonparametric Model Calibration for Derivatives (Articles)

Frédéric Abergel, Rémy Tachet des Combes, Riadh Zaatour

Journal of Mathematical Finance Vol.7 No.3，July 13, 2017

DOI: 10.4236/jmf.2017.73030 1,014 Downloads 1,839 Views Citations
A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1 (Articles)

Z. Guo, H. Schellhorn

Applied Mathematics Vol.10 No.6，June 28, 2019

DOI: 10.4236/am.2019.106034 460 Downloads 1,017 Views Citations
This article belongs to the Special Issue on Stochastic Process and Stochastic Calculus
Some New Estimators of Integrated Volatility (Articles)

Jaya P. N. Bishwal

Open Journal of Statistics Vol.1 No.2，July 29, 2011

DOI: 10.4236/ojs.2011.12008 4,671 Downloads 8,021 Views Citations
Modeling Exchange Rate Dynamics in Egypt: Observed and Unobserved Volatility (Articles)

Dina Rofael, Rana Hosni

Modern Economy Vol.6 No.1，January 14, 2015

DOI: 10.4236/me.2015.61006 4,085 Downloads 5,452 Views Citations
Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market (Articles)

Shivam Singh, Alok Dixit

Theoretical Economics Letters Vol.6 No.2，April 6, 2016

DOI: 10.4236/tel.2016.62018 2,258 Downloads 3,860 Views Citations
Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models (Articles)

Matilda B. Bosire, Samuel Chege Maina

Journal of Financial Risk Management Vol.10 No.3，September 30, 2021

DOI: 10.4236/jfrm.2021.103021 236 Downloads 1,240 Views Citations
Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model (Articles)

Chunxiang A, Yi Shao

Journal of Mathematical Finance Vol.7 No.3，July 31, 2017

DOI: 10.4236/jmf.2017.73037 1,128 Downloads 2,201 Views Citations
This article belongs to the Special Issue on Finance and Portfolio Management

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