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170 total matches.

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- 2015 – 2019 (59)
- 2010 – 2014 (79)
- 2005 – 2009 (29)
- 2000 – 2004 (11)

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- PhD (33)
- Docteur es (12)

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Università della Svizzera italiana

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

Degree: 2011, Università della Svizzera italiana

URL: http://doc.rero.ch/record/27095

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

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

URL: http://hdl.handle.net/1969.1/86017

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://scholar.colorado.edu/fnce_gradetds/2

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://resolver.tudelft.nl/uuid:2f1c74bc-c97a-42ce-9d24-1eff60119e90

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/10393/20295

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039

► 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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2197

► 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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/2144/17713

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: https://scholarworks.rit.edu/theses/4809

► 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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://handle.unsw.edu.au/1959.4/50281 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:9159/SOURCE02?view=true

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627

► 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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://hdl.handle.net/11343/145394

► 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/10012/5096

► 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 (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

Not specified: Masters Thesis or Doctoral Dissertation

15. Shin, Kotbee. Essays on Macroeconometrics.

Degree: 2015, University of Pennsylvania

URL: https://repository.upenn.edu/edissertations/1133

► 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 (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://hdl.handle.net/1808/21849

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://bura.brunel.ac.uk/handle/2438/10344 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.642437

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: 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

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/624205/rec/2436

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/61608/rec/1039

► 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: https://ir.lib.uwo.ca/etd/5466

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534335592622713

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/10023/2568

► 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

Record Details Similar Records

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://www.escholarship.org/uc/item/26m5x35m

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://resolver.tudelft.nl/uuid:59d84718-b299-48f7-bdef-62c57377dfcf

Subjects/Keywords: LIBOR market model; stochastic volatility

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/9850

►

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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://hdl.handle.net/10315/30721

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

URL: http://hdl.handle.net/10012/13663

► *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

Record Details Similar Records

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

APA (6^{th} Edition):

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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://www.lib.ncsu.edu/resolver/1840.16/2240

► 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

Record Details Similar Records

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

APA (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

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

URL: http://hdl.handle.net/2123/18920

► 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 (6^{th} 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

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} 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.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} 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.

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

Not specified: Masters Thesis or Doctoral Dissertation