which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … additional noise nt. We consider the situation which the parameters w and a might also depend on the "time" t, and we study the … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Stremme 1997). We motivate our model by a discrete-time approximation and provide sufficient conditions which exclude …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

time series. It is well known that the usual nonparametric models often have less than satisfactory performance when … mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more … appropriate than an additive one, as the volatility is a positive scale function and a multiplicative model provides a better …