volatility of the underlying evolves randomly. The Heston (1993) square-root process is used for the volatility dynamics. The … is linear in volatility. By evaluating the pricing equation along the free surface boundary, we provide a corresponding … compared with the constant volatility model. The computational efficiency of the numerical integration scheme is also …

While the conditional volatility of time series is always dependent of the model specification, the {\\em ex post} or … realized volatility series is often constructed on a model-free basis. The common proxies of daily volatility in the literature … construct the underlying volatility series in a multivariate stochastic volatility (SV) model framework using the reprojection …

Option pricing model with non-constant volatility models are compared to stochastic volatility ones. The non …-constant volatility models considered are the Dupire's local volatility and Hobson and Rogers path-dependent volatility models. These … approaches have the theoretical advantage of preserving the completeness of the market. The stochastic volatility models …

In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in … the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of … investment specific technology shocks account for most of the sharp decline in volatility of the last two decades …

. Loosely, EIS is effective for integrating high-dimensional latent processes, such as stochastic volatility in financial series … is illustrated by two examples, a Bayesian analysis of stochastic volatility models and the Bayesian analysis of a …

series. The introduction of jump components, in both the returns and the volatility process, improves the fit to the data … different stochastic volatility models. We consider models of the affine-jump diffusion family and the log …-variance specification popular in the econometric literature. We conduct inference within various stochastic volatility models, eventually …