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You searched for subject:(Stochastic volatility). Showing records 1 – 30 of 170 total matches.

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Università della Svizzera italiana

1. La Vecchia, Davide. Contributions to robustness theory.

Degree: 2011, Università della Svizzera italiana

 The goal of this PhD Thesis is the definition of new robust estimators, thereby extending the available theory and exploring new directions for applications in… (more)

Subjects/Keywords: Stochastic volatility

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APA (6th Edition):

La Vecchia, D. (2011). Contributions to robustness theory. (Thesis). Università della Svizzera italiana. Retrieved from http://doc.rero.ch/record/27095

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

La Vecchia, Davide. “Contributions to robustness theory.” 2011. Thesis, Università della Svizzera italiana. Accessed October 19, 2019. http://doc.rero.ch/record/27095.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

La Vecchia, Davide. “Contributions to robustness theory.” 2011. Web. 19 Oct 2019.

Vancouver:

La Vecchia D. Contributions to robustness theory. [Internet] [Thesis]. Università della Svizzera italiana; 2011. [cited 2019 Oct 19]. Available from: http://doc.rero.ch/record/27095.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

La Vecchia D. Contributions to robustness theory. [Thesis]. Università della Svizzera italiana; 2011. Available from: http://doc.rero.ch/record/27095

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Texas A&M University

2. Lee, Hyoung Il. Stochastic volatility models with persistent latent factors: theory and its applications to asset prices.

Degree: 2008, Texas A&M University

 We consider the stochastic volatility model with smooth transition and persistent la- tent factors. We argue that this model has advantages over the conventional stochastic(more)

Subjects/Keywords: Stochastic Volatility Models

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APA (6th Edition):

Lee, H. I. (2008). Stochastic volatility models with persistent latent factors: theory and its applications to asset prices. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/86017

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Lee, Hyoung Il. “Stochastic volatility models with persistent latent factors: theory and its applications to asset prices.” 2008. Thesis, Texas A&M University. Accessed October 19, 2019. http://hdl.handle.net/1969.1/86017.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Lee, Hyoung Il. “Stochastic volatility models with persistent latent factors: theory and its applications to asset prices.” 2008. Web. 19 Oct 2019.

Vancouver:

Lee HI. Stochastic volatility models with persistent latent factors: theory and its applications to asset prices. [Internet] [Thesis]. Texas A&M University; 2008. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/1969.1/86017.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lee HI. Stochastic volatility models with persistent latent factors: theory and its applications to asset prices. [Thesis]. Texas A&M University; 2008. Available from: http://hdl.handle.net/1969.1/86017

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Colorado

3. Park, Yang-Ho. Two Essays on Options Market.

Degree: PhD, Finance, 2011, University of Colorado

  Essay I: The Roles of Short-Run and Long-Run Volatility Factors in Options Market: A Term Structure Perspective This paper examines the option pricing implications… (more)

Subjects/Keywords: Implied volatility; Option; Skewness; Stochastic volatility; Volatility; Volatility smirk; Economics; Finance

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APA (6th Edition):

Park, Y. (2011). Two Essays on Options Market. (Doctoral Dissertation). University of Colorado. Retrieved from http://scholar.colorado.edu/fnce_gradetds/2

Chicago Manual of Style (16th Edition):

Park, Yang-Ho. “Two Essays on Options Market.” 2011. Doctoral Dissertation, University of Colorado. Accessed October 19, 2019. http://scholar.colorado.edu/fnce_gradetds/2.

MLA Handbook (7th Edition):

Park, Yang-Ho. “Two Essays on Options Market.” 2011. Web. 19 Oct 2019.

Vancouver:

Park Y. Two Essays on Options Market. [Internet] [Doctoral dissertation]. University of Colorado; 2011. [cited 2019 Oct 19]. Available from: http://scholar.colorado.edu/fnce_gradetds/2.

Council of Science Editors:

Park Y. Two Essays on Options Market. [Doctoral Dissertation]. University of Colorado; 2011. Available from: http://scholar.colorado.edu/fnce_gradetds/2


Delft University of Technology

4. Hoorens, B. On the Cheyette short rate model with stochastic volatility:.

Degree: 2011, Delft University of Technology

 The purpose of this thesis is to compare the Hull-White short rate model to the Cheyette short rate model. The Cheyette short rate model is… (more)

Subjects/Keywords: short rate model; stochastic volatility

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APA (6th Edition):

Hoorens, B. (2011). On the Cheyette short rate model with stochastic volatility:. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:2f1c74bc-c97a-42ce-9d24-1eff60119e90

Chicago Manual of Style (16th Edition):

Hoorens, B. “On the Cheyette short rate model with stochastic volatility:.” 2011. Masters Thesis, Delft University of Technology. Accessed October 19, 2019. http://resolver.tudelft.nl/uuid:2f1c74bc-c97a-42ce-9d24-1eff60119e90.

MLA Handbook (7th Edition):

Hoorens, B. “On the Cheyette short rate model with stochastic volatility:.” 2011. Web. 19 Oct 2019.

Vancouver:

Hoorens B. On the Cheyette short rate model with stochastic volatility:. [Internet] [Masters thesis]. Delft University of Technology; 2011. [cited 2019 Oct 19]. Available from: http://resolver.tudelft.nl/uuid:2f1c74bc-c97a-42ce-9d24-1eff60119e90.

Council of Science Editors:

Hoorens B. On the Cheyette short rate model with stochastic volatility:. [Masters Thesis]. Delft University of Technology; 2011. Available from: http://resolver.tudelft.nl/uuid:2f1c74bc-c97a-42ce-9d24-1eff60119e90


University of Ottawa

5. Luo, Ling. High Quantile Estimation for some Stochastic Volatility Models .

Degree: 2011, University of Ottawa

 In this thesis we consider estimation of the tail index for heavy tailed stochastic volatility models with long memory. We prove a central limit theorem… (more)

Subjects/Keywords: stochastic volatility; long memory

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APA (6th Edition):

Luo, L. (2011). High Quantile Estimation for some Stochastic Volatility Models . (Thesis). University of Ottawa. Retrieved from http://hdl.handle.net/10393/20295

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Luo, Ling. “High Quantile Estimation for some Stochastic Volatility Models .” 2011. Thesis, University of Ottawa. Accessed October 19, 2019. http://hdl.handle.net/10393/20295.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Luo, Ling. “High Quantile Estimation for some Stochastic Volatility Models .” 2011. Web. 19 Oct 2019.

Vancouver:

Luo L. High Quantile Estimation for some Stochastic Volatility Models . [Internet] [Thesis]. University of Ottawa; 2011. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10393/20295.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Luo L. High Quantile Estimation for some Stochastic Volatility Models . [Thesis]. University of Ottawa; 2011. Available from: http://hdl.handle.net/10393/20295

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Ahy, Nathaniel. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model.

Degree: Culture and Communication, 2018, Mälardalen University

  Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze… (more)

Subjects/Keywords: Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse;

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APA (6th Edition):

Ahy, N. (2018). Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ahy, Nathaniel. “Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model.” 2018. Thesis, Mälardalen University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ahy, Nathaniel. “Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model.” 2018. Web. 19 Oct 2019.

Vancouver:

Ahy N. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model. [Internet] [Thesis]. Mälardalen University; 2018. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ahy N. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model. [Thesis]. Mälardalen University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Halmstad University

7. Petkovic, Danijela. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model.

Degree: Computer and Electrical Engineering (IDE), 2008, Halmstad University

  In this paper we investigate pricing of variance swaps contracts. The literature is mostly dedicated to the pricing using replication with portfolio of vanilla… (more)

Subjects/Keywords: Variance swaps; Heston model; Stochastic volatility

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APA (6th Edition):

Petkovic, D. (2008). Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model. (Thesis). Halmstad University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Petkovic, Danijela. “Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model.” 2008. Thesis, Halmstad University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Petkovic, Danijela. “Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model.” 2008. Web. 19 Oct 2019.

Vancouver:

Petkovic D. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model. [Internet] [Thesis]. Halmstad University; 2008. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Petkovic D. Pricing variance swaps by using two methods : replication strategy and a stochastic volatility model. [Thesis]. Halmstad University; 2008. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Case Western Reserve University

8. Chen, Huaizhi. Estimating Stochastic Volatility Using Particle Filters.

Degree: MSs, Applied Mathematics, 2009, Case Western Reserve University

 The value of financial derivatives such as options depends, among other things, on the volatility of the underlying asset. Estimating volatility from historic data on… (more)

Subjects/Keywords: Finance; Mathematics; Stochastic Volatility; Particle Filters

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APA (6th Edition):

Chen, H. (2009). Estimating Stochastic Volatility Using Particle Filters. (Masters Thesis). Case Western Reserve University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250

Chicago Manual of Style (16th Edition):

Chen, Huaizhi. “Estimating Stochastic Volatility Using Particle Filters.” 2009. Masters Thesis, Case Western Reserve University. Accessed October 19, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250.

MLA Handbook (7th Edition):

Chen, Huaizhi. “Estimating Stochastic Volatility Using Particle Filters.” 2009. Web. 19 Oct 2019.

Vancouver:

Chen H. Estimating Stochastic Volatility Using Particle Filters. [Internet] [Masters thesis]. Case Western Reserve University; 2009. [cited 2019 Oct 19]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250.

Council of Science Editors:

Chen H. Estimating Stochastic Volatility Using Particle Filters. [Masters Thesis]. Case Western Reserve University; 2009. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250

9. Guay, Francois. Parameter inference for multivariate stochastic processes with jumps.

Degree: PhD, Economics, 2016, Boston University

 This dissertation addresses various aspects of estimation and inference for multivariate stochastic processes with jumps. The first chapter develops an unbiased Monte Carlo estimator of… (more)

Subjects/Keywords: Economics; Jumps; Multivariate; Simulations; Stochastic; Volatility

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APA (6th Edition):

Guay, F. (2016). Parameter inference for multivariate stochastic processes with jumps. (Doctoral Dissertation). Boston University. Retrieved from http://hdl.handle.net/2144/17713

Chicago Manual of Style (16th Edition):

Guay, Francois. “Parameter inference for multivariate stochastic processes with jumps.” 2016. Doctoral Dissertation, Boston University. Accessed October 19, 2019. http://hdl.handle.net/2144/17713.

MLA Handbook (7th Edition):

Guay, Francois. “Parameter inference for multivariate stochastic processes with jumps.” 2016. Web. 19 Oct 2019.

Vancouver:

Guay F. Parameter inference for multivariate stochastic processes with jumps. [Internet] [Doctoral dissertation]. Boston University; 2016. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2144/17713.

Council of Science Editors:

Guay F. Parameter inference for multivariate stochastic processes with jumps. [Doctoral Dissertation]. Boston University; 2016. Available from: http://hdl.handle.net/2144/17713


Rochester Institute of Technology

10. Yang, Yuan. Valuing a European option with the Heston model.

Degree: School of Mathematical Sciences (COS), 2013, Rochester Institute of Technology

 In spite of the Black-Scholes (BS) equation being widely used to price options, this method is based on a hypothesis that the volatility of the… (more)

Subjects/Keywords: Heston model; Option pricing; Stochastic volatility model

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APA (6th Edition):

Yang, Y. (2013). Valuing a European option with the Heston model. (Thesis). Rochester Institute of Technology. Retrieved from https://scholarworks.rit.edu/theses/4809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Thesis, Rochester Institute of Technology. Accessed October 19, 2019. https://scholarworks.rit.edu/theses/4809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Yang, Yuan. “Valuing a European option with the Heston model.” 2013. Web. 19 Oct 2019.

Vancouver:

Yang Y. Valuing a European option with the Heston model. [Internet] [Thesis]. Rochester Institute of Technology; 2013. [cited 2019 Oct 19]. Available from: https://scholarworks.rit.edu/theses/4809.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yang Y. Valuing a European option with the Heston model. [Thesis]. Rochester Institute of Technology; 2013. Available from: https://scholarworks.rit.edu/theses/4809

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of New South Wales

11. Lee, Damien Wai Keong. Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets.

Degree: Banking & Finance, 2010, University of New South Wales

 Financial markets worldwide have grown rapidly over the last few decades and so have the number of modelling approaches to analyse and price financial assets.… (more)

Subjects/Keywords: Commodities; Stochastic Volatility; Maximum Likelihood Estimation; Derivatives

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APA (6th Edition):

Lee, D. W. K. (2010). Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/50281 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:9159/SOURCE02?view=true

Chicago Manual of Style (16th Edition):

Lee, Damien Wai Keong. “Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets.” 2010. Doctoral Dissertation, University of New South Wales. Accessed October 19, 2019. http://handle.unsw.edu.au/1959.4/50281 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:9159/SOURCE02?view=true.

MLA Handbook (7th Edition):

Lee, Damien Wai Keong. “Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets.” 2010. Web. 19 Oct 2019.

Vancouver:

Lee DWK. Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets. [Internet] [Doctoral dissertation]. University of New South Wales; 2010. [cited 2019 Oct 19]. Available from: http://handle.unsw.edu.au/1959.4/50281 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:9159/SOURCE02?view=true.

Council of Science Editors:

Lee DWK. Maximum likelihood estimation of stochastic volatility and pricing derivatives in commodity markets. [Doctoral Dissertation]. University of New South Wales; 2010. Available from: http://handle.unsw.edu.au/1959.4/50281 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:9159/SOURCE02?view=true

12. Tran, Nguyen. The SABR Model : Calibrated for Swaption's Volatility Smile.

Degree: Culture and Communication, 2014, Mälardalen University

  Problem: The standard Black-Scholes framework cannot incorporate the volatility smiles usually observed in the markets. Instead, one must consider alternative stochastic volatility models such… (more)

Subjects/Keywords: SABR; Volatility smile; Swaption; Stochastic volatility; Black-Scholes model

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APA (6th Edition):

Tran, N. (2014). The SABR Model : Calibrated for Swaption's Volatility Smile. (Thesis). Mälardalen University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Tran, Nguyen. “The SABR Model : Calibrated for Swaption's Volatility Smile.” 2014. Thesis, Mälardalen University. Accessed October 19, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Tran, Nguyen. “The SABR Model : Calibrated for Swaption's Volatility Smile.” 2014. Web. 19 Oct 2019.

Vancouver:

Tran N. The SABR Model : Calibrated for Swaption's Volatility Smile. [Internet] [Thesis]. Mälardalen University; 2014. [cited 2019 Oct 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tran N. The SABR Model : Calibrated for Swaption's Volatility Smile. [Thesis]. Mälardalen University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Melbourne

13. Ranasinghe, Navin. Pricing long-dated equity derivatives under stochastic interest rates.

Degree: 2017, University of Melbourne

 Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded derivatives, this is not the case for the kind of… (more)

Subjects/Keywords: derivatives pricing; stochastic volatility; local volatility; stochastic interest rates; Markov functional models; mixture models; volatility derivatives; non-parametric; model-free

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ranasinghe, N. (2017). Pricing long-dated equity derivatives under stochastic interest rates. (Doctoral Dissertation). University of Melbourne. Retrieved from http://hdl.handle.net/11343/145394

Chicago Manual of Style (16th Edition):

Ranasinghe, Navin. “Pricing long-dated equity derivatives under stochastic interest rates.” 2017. Doctoral Dissertation, University of Melbourne. Accessed October 19, 2019. http://hdl.handle.net/11343/145394.

MLA Handbook (7th Edition):

Ranasinghe, Navin. “Pricing long-dated equity derivatives under stochastic interest rates.” 2017. Web. 19 Oct 2019.

Vancouver:

Ranasinghe N. Pricing long-dated equity derivatives under stochastic interest rates. [Internet] [Doctoral dissertation]. University of Melbourne; 2017. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/11343/145394.

Council of Science Editors:

Ranasinghe N. Pricing long-dated equity derivatives under stochastic interest rates. [Doctoral Dissertation]. University of Melbourne; 2017. Available from: http://hdl.handle.net/11343/145394


University of Waterloo

14. Cui, Zhenyu. Time change method in quantitative finance.

Degree: 2010, University of Waterloo

 In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous… (more)

Subjects/Keywords: time change; stochastic volatility; stochastic interest rates; exotic option

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APA (6th Edition):

Cui, Z. (2010). Time change method in quantitative finance. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5096

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Cui, Zhenyu. “Time change method in quantitative finance.” 2010. Thesis, University of Waterloo. Accessed October 19, 2019. http://hdl.handle.net/10012/5096.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Cui, Zhenyu. “Time change method in quantitative finance.” 2010. Web. 19 Oct 2019.

Vancouver:

Cui Z. Time change method in quantitative finance. [Internet] [Thesis]. University of Waterloo; 2010. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10012/5096.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cui Z. Time change method in quantitative finance. [Thesis]. University of Waterloo; 2010. Available from: http://hdl.handle.net/10012/5096

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

15. Shin, Kotbee. Essays on Macroeconometrics.

Degree: 2015, University of Pennsylvania

 This dissertation presents two essays on macroeconometrics. In the second chapter, I empirically compare alternative specifications of time-varying volatility in the context of linearized dynamic… (more)

Subjects/Keywords: Adaptive Expectations; Exchange Rate Dynamics; Regime Switching Model; Stochastic Volatility; Time-varying Volatility; Economics

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APA (6th Edition):

Shin, K. (2015). Essays on Macroeconometrics. (Thesis). University of Pennsylvania. Retrieved from https://repository.upenn.edu/edissertations/1133

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Shin, Kotbee. “Essays on Macroeconometrics.” 2015. Thesis, University of Pennsylvania. Accessed October 19, 2019. https://repository.upenn.edu/edissertations/1133.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Shin, Kotbee. “Essays on Macroeconometrics.” 2015. Web. 19 Oct 2019.

Vancouver:

Shin K. Essays on Macroeconometrics. [Internet] [Thesis]. University of Pennsylvania; 2015. [cited 2019 Oct 19]. Available from: https://repository.upenn.edu/edissertations/1133.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Shin K. Essays on Macroeconometrics. [Thesis]. University of Pennsylvania; 2015. Available from: https://repository.upenn.edu/edissertations/1133

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Kansas

16. Huang, Shangwen. Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle.

Degree: PhD, Economics, 2016, University of Kansas

 Chapter 1 is a survey paper for economists new to the field of a Monte Carlo simulation based method: particle filter. Particle filter can be… (more)

Subjects/Keywords: Economics; Monetary policy; Particle filter; Stochastic volatility; Uncertainty

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APA (6th Edition):

Huang, S. (2016). Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/21849

Chicago Manual of Style (16th Edition):

Huang, Shangwen. “Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle.” 2016. Doctoral Dissertation, University of Kansas. Accessed October 19, 2019. http://hdl.handle.net/1808/21849.

MLA Handbook (7th Edition):

Huang, Shangwen. “Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle.” 2016. Web. 19 Oct 2019.

Vancouver:

Huang S. Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle. [Internet] [Doctoral dissertation]. University of Kansas; 2016. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/1808/21849.

Council of Science Editors:

Huang S. Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle. [Doctoral Dissertation]. University of Kansas; 2016. Available from: http://hdl.handle.net/1808/21849


Brunel University

17. Islyaev, Suren. Stochastic models with random parameters for financial markets.

Degree: PhD, 2014, Brunel University

 The aim of this thesis is a development of a new class of financial models with random parameters, which are computationally efficient and have the… (more)

Subjects/Keywords: 519.2; Kalman filter; Index options; Commodity futures; Stochastic volatility; Model calibration

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APA (6th Edition):

Islyaev, S. (2014). Stochastic models with random parameters for financial markets. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/10344 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.642437

Chicago Manual of Style (16th Edition):

Islyaev, Suren. “Stochastic models with random parameters for financial markets.” 2014. Doctoral Dissertation, Brunel University. Accessed October 19, 2019. http://bura.brunel.ac.uk/handle/2438/10344 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.642437.

MLA Handbook (7th Edition):

Islyaev, Suren. “Stochastic models with random parameters for financial markets.” 2014. Web. 19 Oct 2019.

Vancouver:

Islyaev S. Stochastic models with random parameters for financial markets. [Internet] [Doctoral dissertation]. Brunel University; 2014. [cited 2019 Oct 19]. Available from: http://bura.brunel.ac.uk/handle/2438/10344 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.642437.

Council of Science Editors:

Islyaev S. Stochastic models with random parameters for financial markets. [Doctoral Dissertation]. Brunel University; 2014. Available from: http://bura.brunel.ac.uk/handle/2438/10344 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.642437


University of Manchester

18. Stilger, Przemyslaw. Numerical and empirical studies of option pricing.

Degree: PhD, 2014, University of Manchester

 This thesis makes a number of contributions in the derivative pricing and risk management literature and to the growing literature that exploits information embedded in… (more)

Subjects/Keywords: 332.63; Importance Sampling; Stochastic Volatility; Risk-Neutral Skewness

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APA (6th Edition):

Stilger, P. (2014). Numerical and empirical studies of option pricing. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/numerical-and-empirical-studies-of-option-pricing(d8d5a42a-8f45-47c1-85d4-ecce290895cb).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632205

Chicago Manual of Style (16th Edition):

Stilger, Przemyslaw. “Numerical and empirical studies of option pricing.” 2014. Doctoral Dissertation, University of Manchester. Accessed October 19, 2019. https://www.research.manchester.ac.uk/portal/en/theses/numerical-and-empirical-studies-of-option-pricing(d8d5a42a-8f45-47c1-85d4-ecce290895cb).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632205.

MLA Handbook (7th Edition):

Stilger, Przemyslaw. “Numerical and empirical studies of option pricing.” 2014. Web. 19 Oct 2019.

Vancouver:

Stilger P. Numerical and empirical studies of option pricing. [Internet] [Doctoral dissertation]. University of Manchester; 2014. [cited 2019 Oct 19]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/numerical-and-empirical-studies-of-option-pricing(d8d5a42a-8f45-47c1-85d4-ecce290895cb).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632205.

Council of Science Editors:

Stilger P. Numerical and empirical studies of option pricing. [Doctoral Dissertation]. University of Manchester; 2014. Available from: https://www.research.manchester.ac.uk/portal/en/theses/numerical-and-empirical-studies-of-option-pricing(d8d5a42a-8f45-47c1-85d4-ecce290895cb).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632205


University of Southern California

19. Vilán, Diego. Essays in uncertainty and aggregate economic activity.

Degree: PhD, Economics, 2015, University of Southern California

 This dissertation is a collection of essays with the unifying objective being to better understand the origins of fluctuations in macroeconomic uncertainty as well as… (more)

Subjects/Keywords: endogenous uncertainty; macroeconomic activity; stochastic volatility; terms of trade

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APA (6th Edition):

Vilán, D. (2015). Essays in uncertainty and aggregate economic activity. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/624205/rec/2436

Chicago Manual of Style (16th Edition):

Vilán, Diego. “Essays in uncertainty and aggregate economic activity.” 2015. Doctoral Dissertation, University of Southern California. Accessed October 19, 2019. http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/624205/rec/2436.

MLA Handbook (7th Edition):

Vilán, Diego. “Essays in uncertainty and aggregate economic activity.” 2015. Web. 19 Oct 2019.

Vancouver:

Vilán D. Essays in uncertainty and aggregate economic activity. [Internet] [Doctoral dissertation]. University of Southern California; 2015. [cited 2019 Oct 19]. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/624205/rec/2436.

Council of Science Editors:

Vilán D. Essays in uncertainty and aggregate economic activity. [Doctoral Dissertation]. University of Southern California; 2015. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/624205/rec/2436


University of Southern California

20. Szerszen, Pawel. Bayesian analysis of stochastic volatility models with Levy jumps.

Degree: PhD, Economics, 2010, University of Southern California

 In this work we analyze asset returns models with diffusion part and jumps in returns with stochastic volatility either from diffusion or pure jump part.… (more)

Subjects/Keywords: bayesian estimation; asset returns; Levy jumps; stochastic volatility

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APA (6th Edition):

Szerszen, P. (2010). Bayesian analysis of stochastic volatility models with Levy jumps. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/61608/rec/1039

Chicago Manual of Style (16th Edition):

Szerszen, Pawel. “Bayesian analysis of stochastic volatility models with Levy jumps.” 2010. Doctoral Dissertation, University of Southern California. Accessed October 19, 2019. http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/61608/rec/1039.

MLA Handbook (7th Edition):

Szerszen, Pawel. “Bayesian analysis of stochastic volatility models with Levy jumps.” 2010. Web. 19 Oct 2019.

Vancouver:

Szerszen P. Bayesian analysis of stochastic volatility models with Levy jumps. [Internet] [Doctoral dissertation]. University of Southern California; 2010. [cited 2019 Oct 19]. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/61608/rec/1039.

Council of Science Editors:

Szerszen P. Bayesian analysis of stochastic volatility models with Levy jumps. [Doctoral Dissertation]. University of Southern California; 2010. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/61608/rec/1039


University of Western Ontario

21. Fang, Lin. Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing.

Degree: 2018, University of Western Ontario

 In this work, we provide the definition, study properties, and craft new stochastic models for two dependence indices: the implied correlation index and the herd… (more)

Subjects/Keywords: Implied correlation index; stochastic volatility models; Applied Statistics

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APA (6th Edition):

Fang, L. (2018). Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing. (Thesis). University of Western Ontario. Retrieved from https://ir.lib.uwo.ca/etd/5466

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Fang, Lin. “Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing.” 2018. Thesis, University of Western Ontario. Accessed October 19, 2019. https://ir.lib.uwo.ca/etd/5466.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Fang, Lin. “Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing.” 2018. Web. 19 Oct 2019.

Vancouver:

Fang L. Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing. [Internet] [Thesis]. University of Western Ontario; 2018. [cited 2019 Oct 19]. Available from: https://ir.lib.uwo.ca/etd/5466.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fang L. Stochastic modelling of implied correlation index and herd behavior index. Evidence, properties and pricing. [Thesis]. University of Western Ontario; 2018. Available from: https://ir.lib.uwo.ca/etd/5466

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


The Ohio State University

22. Awasthi, Achal. Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing.

Degree: MS, Statistics, 2018, The Ohio State University

 In this thesis, we propose a generalized Heston model as a tool to estimate volatility.We have used Approximate Bayesian Computing to estimate the parameters ofthe… (more)

Subjects/Keywords: Statistics; Stochastic Volatility, Emerging Markets, Approximate Bayesian Computing

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APA (6th Edition):

Awasthi, A. (2018). Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing. (Masters Thesis). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1534335592622713

Chicago Manual of Style (16th Edition):

Awasthi, Achal. “Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing.” 2018. Masters Thesis, The Ohio State University. Accessed October 19, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1534335592622713.

MLA Handbook (7th Edition):

Awasthi, Achal. “Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing.” 2018. Web. 19 Oct 2019.

Vancouver:

Awasthi A. Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing. [Internet] [Masters thesis]. The Ohio State University; 2018. [cited 2019 Oct 19]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534335592622713.

Council of Science Editors:

Awasthi A. Parameter Estimation in Stochastic Volatility Models Via Approximate Bayesian Computing. [Masters Thesis]. The Ohio State University; 2018. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534335592622713


University of St. Andrews

23. Tsujimoto, Tsunehiro. Calibration of the chaotic interest rate model .

Degree: 2010, University of St. Andrews

 In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the… (more)

Subjects/Keywords: Quantitative finance; Mathematical finance; Interest rate modelling; Potential approach; Stochastic volatility

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APA (6th Edition):

Tsujimoto, T. (2010). Calibration of the chaotic interest rate model . (Thesis). University of St. Andrews. Retrieved from http://hdl.handle.net/10023/2568

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Tsujimoto, Tsunehiro. “Calibration of the chaotic interest rate model .” 2010. Thesis, University of St. Andrews. Accessed October 19, 2019. http://hdl.handle.net/10023/2568.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Tsujimoto, Tsunehiro. “Calibration of the chaotic interest rate model .” 2010. Web. 19 Oct 2019.

Vancouver:

Tsujimoto T. Calibration of the chaotic interest rate model . [Internet] [Thesis]. University of St. Andrews; 2010. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10023/2568.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tsujimoto T. Calibration of the chaotic interest rate model . [Thesis]. University of St. Andrews; 2010. Available from: http://hdl.handle.net/10023/2568

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of California – Santa Cruz

24. Dinolov, Georgi Svetoslavov. Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices.

Degree: Statistics and Applied Mathematics, 2019, University of California – Santa Cruz

 Statistical models of price volatility most commonly use low-frequency (daily, weekly, or monthly) returns. However, despite their availability, two types of financial data have not… (more)

Subjects/Keywords: Statistics; Applied mathematics; initial boundary problems; microstructure; stochastic volatility

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APA (6th Edition):

Dinolov, G. S. (2019). Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices. (Thesis). University of California – Santa Cruz. Retrieved from http://www.escholarship.org/uc/item/26m5x35m

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Dinolov, Georgi Svetoslavov. “Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices.” 2019. Thesis, University of California – Santa Cruz. Accessed October 19, 2019. http://www.escholarship.org/uc/item/26m5x35m.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Dinolov, Georgi Svetoslavov. “Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices.” 2019. Web. 19 Oct 2019.

Vancouver:

Dinolov GS. Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices. [Internet] [Thesis]. University of California – Santa Cruz; 2019. [cited 2019 Oct 19]. Available from: http://www.escholarship.org/uc/item/26m5x35m.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dinolov GS. Volatility Estimation Methods for High-Frequency and Bivariate Open, Close, High, Low Prices. [Thesis]. University of California – Santa Cruz; 2019. Available from: http://www.escholarship.org/uc/item/26m5x35m

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Delft University of Technology

25. Manzana, N. Pricing Methods in a LIBOR Market Model with Stochastic Volatility:.

Degree: 2012, Delft University of Technology

Subjects/Keywords: LIBOR market model; stochastic volatility

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APA (6th Edition):

Manzana, N. (2012). Pricing Methods in a LIBOR Market Model with Stochastic Volatility:. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:59d84718-b299-48f7-bdef-62c57377dfcf

Chicago Manual of Style (16th Edition):

Manzana, N. “Pricing Methods in a LIBOR Market Model with Stochastic Volatility:.” 2012. Masters Thesis, Delft University of Technology. Accessed October 19, 2019. http://resolver.tudelft.nl/uuid:59d84718-b299-48f7-bdef-62c57377dfcf.

MLA Handbook (7th Edition):

Manzana, N. “Pricing Methods in a LIBOR Market Model with Stochastic Volatility:.” 2012. Web. 19 Oct 2019.

Vancouver:

Manzana N. Pricing Methods in a LIBOR Market Model with Stochastic Volatility:. [Internet] [Masters thesis]. Delft University of Technology; 2012. [cited 2019 Oct 19]. Available from: http://resolver.tudelft.nl/uuid:59d84718-b299-48f7-bdef-62c57377dfcf.

Council of Science Editors:

Manzana N. Pricing Methods in a LIBOR Market Model with Stochastic Volatility:. [Masters Thesis]. Delft University of Technology; 2012. Available from: http://resolver.tudelft.nl/uuid:59d84718-b299-48f7-bdef-62c57377dfcf


Universidade Nova

26. Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.

Degree: 2013, Universidade Nova

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business… (more)

Subjects/Keywords: Credit crisis; Banking system; Stochastic volatility; Fractional integration

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APA (6th Edition):

Stokes, S. A. S. d. S. e. A. (2013). Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. “Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.” 2013. Thesis, Universidade Nova. Accessed October 19, 2019. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Stokes, Sofia Amaro Stattmiller de Saldanha e Albuquerque. “Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks.” 2013. Web. 19 Oct 2019.

Vancouver:

Stokes SASdSeA. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. [Internet] [Thesis]. Universidade Nova; 2013. [cited 2019 Oct 19]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Stokes SASdSeA. Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks. [Thesis]. Universidade Nova; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

27. Hu, Bing. Local Volatility Model With Stochastic Interest Rate.

Degree: MSc -MS, Applied and Industrial Mathematics, 2015, York University

 Many different models exist to describe the behaviour of asset prices and are used to value options on such an underlying asset. This report investigates… (more)

Subjects/Keywords: Mathematics; Finance; local volatility model; stochastic interest rate; Lipschitz interpolation

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APA (6th Edition):

Hu, B. (2015). Local Volatility Model With Stochastic Interest Rate. (Masters Thesis). York University. Retrieved from http://hdl.handle.net/10315/30721

Chicago Manual of Style (16th Edition):

Hu, Bing. “Local Volatility Model With Stochastic Interest Rate.” 2015. Masters Thesis, York University. Accessed October 19, 2019. http://hdl.handle.net/10315/30721.

MLA Handbook (7th Edition):

Hu, Bing. “Local Volatility Model With Stochastic Interest Rate.” 2015. Web. 19 Oct 2019.

Vancouver:

Hu B. Local Volatility Model With Stochastic Interest Rate. [Internet] [Masters thesis]. York University; 2015. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10315/30721.

Council of Science Editors:

Hu B. Local Volatility Model With Stochastic Interest Rate. [Masters Thesis]. York University; 2015. Available from: http://hdl.handle.net/10315/30721


University of Waterloo

28. Fang, Yizhou. Computationally Efficient Multi-Asset Stochastic Volatility Modeling.

Degree: 2018, University of Waterloo

Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move… (more)

Subjects/Keywords: Bayesian Inference; Stochastic Volatility; Latent Variables; Multiple Assets

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APA (6th Edition):

Fang, Y. (2018). Computationally Efficient Multi-Asset Stochastic Volatility Modeling. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/13663

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Fang, Yizhou. “Computationally Efficient Multi-Asset Stochastic Volatility Modeling.” 2018. Thesis, University of Waterloo. Accessed October 19, 2019. http://hdl.handle.net/10012/13663.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Fang, Yizhou. “Computationally Efficient Multi-Asset Stochastic Volatility Modeling.” 2018. Web. 19 Oct 2019.

Vancouver:

Fang Y. Computationally Efficient Multi-Asset Stochastic Volatility Modeling. [Internet] [Thesis]. University of Waterloo; 2018. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/10012/13663.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fang Y. Computationally Efficient Multi-Asset Stochastic Volatility Modeling. [Thesis]. University of Waterloo; 2018. Available from: http://hdl.handle.net/10012/13663

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


North Carolina State University

29. Dai, Jin. Stochastics Volatility Corrections for Interest Rate Models.

Degree: MS, Applied Mathematics, 2002, North Carolina State University

 This paper is mainly focused on how to price the interest rate derivatives by stochastic volatility models. We will use CIR model and introduce a… (more)

Subjects/Keywords: Stochastic Volatility Corrections; Vasicek; CIR

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APA (6th Edition):

Dai, J. (2002). Stochastics Volatility Corrections for Interest Rate Models. (Thesis). North Carolina State University. Retrieved from http://www.lib.ncsu.edu/resolver/1840.16/2240

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Dai, Jin. “Stochastics Volatility Corrections for Interest Rate Models.” 2002. Thesis, North Carolina State University. Accessed October 19, 2019. http://www.lib.ncsu.edu/resolver/1840.16/2240.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Dai, Jin. “Stochastics Volatility Corrections for Interest Rate Models.” 2002. Web. 19 Oct 2019.

Vancouver:

Dai J. Stochastics Volatility Corrections for Interest Rate Models. [Internet] [Thesis]. North Carolina State University; 2002. [cited 2019 Oct 19]. Available from: http://www.lib.ncsu.edu/resolver/1840.16/2240.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dai J. Stochastics Volatility Corrections for Interest Rate Models. [Thesis]. North Carolina State University; 2002. Available from: http://www.lib.ncsu.edu/resolver/1840.16/2240

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Sydney

30. Phillip, Andrew. On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications .

Degree: 2018, University of Sydney

 This thesis begins by developing a time series model which has generalised (Gegenbauer) long memory in the mean process with stochastic volatility errors where each… (more)

Subjects/Keywords: Long memory; Stochastic Volatility; Cryptocurrencies; Bayesian; Gegenbauer; MCMC

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APA (6th Edition):

Phillip, A. (2018). On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/18920

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Phillip, Andrew. “On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications .” 2018. Thesis, University of Sydney. Accessed October 19, 2019. http://hdl.handle.net/2123/18920.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Phillip, Andrew. “On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications .” 2018. Web. 19 Oct 2019.

Vancouver:

Phillip A. On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications . [Internet] [Thesis]. University of Sydney; 2018. [cited 2019 Oct 19]. Available from: http://hdl.handle.net/2123/18920.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Phillip A. On Gegenbauer long memory stochastic volatility models: A Bayesian Markov chain Monte Carlo approach with applications . [Thesis]. University of Sydney; 2018. Available from: http://hdl.handle.net/2123/18920

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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