The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial "dynamically purified" price process that in theory allows to eliminate the impact of the stock price movements....

We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modelled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio,...

Purpose: This paper aims to investigate possibility of statistical detection of market completeness for continuous time diffusion stock market models. Design/methodology/approach: The paper uses theory of forecasting to find criteria of predictability of market parameters such as volatilities...