volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

herkömmlichen Theorien. Diese Frage kann positiv beantwortet werden mit einer interessanten Interpretation von Volatility-Smiles als … Ergebnis aggregierter Volatility-Skews. Der Band richtet sich sowohl an Wissenschaftler als auch an Fachleute in Banken und …

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …