Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the … multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility framework and … estimating parameters in a stochastic volatility model is challenging, we introduce a robust methodology based on the Generalized …

We propose a simple but rigorous stochastic volatility – stochastic correlation model, formulated as a pair of … correlated CIRCEV and Jacobi processes. Our model proves to fit both marginal and joint distributions of implied volatility and …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

limit of an asymmetric GARCH model risk-neutralized via Wang's transform. The connection with stochastic volatility limits …

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time …

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …