volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized … show that expenditure functions associated to second-order stochastic dominance, provide microeconomic foundations for a …

with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both … assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the …

-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value …We propose a general framework to model equity volatility for a firm financed by equity and additional non … volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility … conditions for a stochastic process described forward price volatility. We compare our results with those known from the …

surface and on the implied volatility smile/skew. The method is illustrated by calibrating to market prices of Dollar …A framework for calibrating a pricing model to a prescribed set of options prices quoted in the market is presented … properties of the computed volatility surface are discussed, including the effect of the Bayesian prior on the shape of the …