options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage … relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

volatilities and a stochastic volatility model with leverage effects and jumps for asset returns. -- Dynamic latent variable model … ; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …

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 …