Similar Search Results

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Dynamic optimal capital structure with regime switching

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220

Persistent link: https://www.econbiz.de/10011376180

Structural pricing of CoCos and deposit insurance with regime switching and jumps

Le Courtois, Olivier; Su, Xiaoshan - In: Asia Pacific financial markets 27 (2020) 4, pp. 477-520

Persistent link: https://www.econbiz.de/10012390326

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

A branch-and-bound approach to minimise the value-at-risk of the makespan in a stochastic two-machine flow shop

Liu, Lei; Urgo, Marcello - In: International journal of production research 62 (2024) 6, pp. 2107-2123

Persistent link: https://www.econbiz.de/10014546362

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - 2011

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...

Persistent link: https://www.econbiz.de/10009373436