tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while … the modeling of stochastic volatility gives more robust models, the market does not process information on the realized …

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …

one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …

one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …

volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a …

tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while … the modeling of stochastic volatility gives more robust models, the market does not process information on the realized …

more general frameworks where stochastic volatility and jumps are combined to capture market's important features. In … particular, we study the hedging error due to discrete readjustments by applying the Leland adjusting volatility principle to …

volatility models. The special feature is that the only information available to the investor is the one generated by the asset … priori models for the trend and the stochastic volatility in order to evaluate the filters processes. The dynamic programming …