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Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method

Zhang, Mengzhe; Chan, Leunglung - In: International journal of financial engineering 3 (2016) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011673092

Variance and volatility swaps under a two-factor stochastic volatility model with regime switching

He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10012030900

Jump-diffusion volatility models for variance swaps : an empirical performance analysis

Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014457699

Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits

Badescu, Alex - 2015

Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the … non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant …

Persistent link: https://www.econbiz.de/10013034800

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Badescu, Alex - 2014

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta...

Persistent link: https://www.econbiz.de/10013065375

Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models

Fantazzini, Dean - 2023

probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …

Persistent link: https://www.econbiz.de/10014350946

The Fiction of Full BEKK

Chang, Chia-Lin - 2017

The purpose of the paper is to (i) show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, that are not consistent with...

Persistent link: https://www.econbiz.de/10012953102

Chapter 7 Forecasting with Unobserved Components Time Series Models

Harvey, Andrew - 2006

section compares stochastic volatility models with GARCH. …

Persistent link: https://www.econbiz.de/10014023699

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Liao, Yin - 2012

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …

Persistent link: https://www.econbiz.de/10013105658

Fast Clustering of GARCH Processes Via Gaussian Mixture Models

Aielli, Gian Piero - 2012

The financial econometrics literature includes several multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...

Persistent link: https://www.econbiz.de/10013105776