相关论文: Linear Predictive Coding as an Estimator of Volati…

A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a function of the option's strike price and maturity. Often,…

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…

In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…

We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…

In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains…

Prior research has shown that autocorrelation and variance in voltage measurements tend to increase as power systems approach instability. This paper seeks to identify the conditions under which these statistical indicators provide reliable…

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

We present the numerical estimation of noise parameter induced in the dynamics of the variables by random particle interactions involved in the stochastic chemical oscillator and use it as order parameter to detect the transition from…

Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…

Time-varying linear state-space models are powerful tools for obtaining mathematically interpretable representations of neural signals. For example, switching and decomposed models describe complex systems using latent variables that evolve…

In this brief paper, we present a simple approach to estimate the variance of measurement noise with time-varying 1-D signals. The proposed approach exploits the relationship between the noise variance and the variance of the prediction…

We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time, we integrate available options into estimates of the…

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local…

Nonlinear systems with model uncertainty are often described by stochastic differential equations. Some techniques from random dynamical systems are discussed. They are relevant to better understanding of solution processes of stochastic…

Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…

This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…

Predicting the response of nonlinear dynamical systems subject to random, broadband excitation is important across a range of scientific disciplines, such as structural dynamics and neuroscience. Building data-driven models requires…

We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge,…