We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of …

shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No … assumption is made about the parametric form of the processes, on the contrary we only suppose that the volatility can be … homogeneity, then the estimate of the volatility can be simply obtained by local averaging. We construct a locally adaptive …