Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

To capture mean and variance asymmetries and time-varying volatility in financial time series, we generalize the … threshold stochastic volatility (THSV) model and incorporate a heavy-tailed error distribution. Unlike existing stochastic … volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time …

fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the …