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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model

Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004

Persistent link: https://www.econbiz.de/10002072557

Stochastic volatility Gaussian Heath-Jarrow-Morton models

Valchev, Stoyan - In: Applied mathematical finance 11 (2004) 4, pp. 347-368

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Reservoirs with seasonally varying Markovian inflows, and their first passage times

Lloyd, E. H. - 1977

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Estimation of the stochastic volatility by Markov Chain Monte Carlo

Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998

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Markov chain Monte Carlo methods for stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 108 (2002) 2, pp. 281-316

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Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

Persistent link: https://www.econbiz.de/10001620447

A link between complete models with stochastic volatility and ARCH models

Jeantheau, Thierry - In: Finance and stochastics 8 (2004) 1, pp. 111-131

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Stochastic volatility and jumps driven by continous time Markov chains

Chourdakis, Kyriakos M. - 2000

Persistent link: https://www.econbiz.de/10001548114

Bayesian unit-root testing in stochastic volatility models

So, Mike Ka-pui; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 491-496

Persistent link: https://www.econbiz.de/10001412874