volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …

We study the problem of optimally liquidating a financial position in a discrete-time model with stochastic volatility … and liquidity. We consider the three cases where the objective is to minimize the expectation, an expected exponential and … by a forward-backward system of stochastic equations depending on conditional expectations of future liquidity. In the …

very high speed of mean reversion and low volatility in interest rate paths. This result can be associated with credibility … also seen that MPC has been successful to lower volatility by 9 times since its inception while maintaining the same high …

jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator …