Finanzkrise, Wirtschaftsflaute, Rezession – kaum eine Branche ist nicht von den starken Turbulenzen auf den globalen …

In this survey we discuss models with level-dependent and stochastic volatility from the viewpoint of derivative asset … consider models with level-dependent volatility. Most of this survey is devoted to derivative asset analysis in stochastic … volatility models. We discuss several recent developments in the theory of derivative pricing under incompleteness in the context …

of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between …

symbolic level are applied to predict the daily change in volatility of two major stock indices.... …

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. …