In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility … calibration algorithm is FFT based, so fast and easy to implement. -- Libor modelling ; stochastic volatility ; CIR processes …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when the … volatility of the firm value process lies between two extreme values. -- Convertible bond ; game option ; uncertain volatility …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

under a broad class of stochastic volatility models. Based on this formula, we propose a closed-form approximation of the … implied volatility smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic volatility …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …