[图书][B] Multiscale stochastic volatility for equity, interest rate, and credit derivatives

JP Fouque, G Papanicolaou, R Sircar, K Sølna - 2011 - books.google.com
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets
with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives …

Neglecting parameter changes in GARCH models

E Hillebrand - Journal of Econometrics, 2005 - Elsevier
If a GARCH model is estimated on a time series that contains parameter changes in the
conditional volatility process and these parameter changes are not accounted for, a distinct …

Multiscale stochastic volatility asymptotics

JP Fouque, G Papanicolaou, R Sircar, K Solna - Multiscale Modeling & …, 2003 - SIAM
In this paper we propose to use a combination of regular and singular perturbations to
analyze parabolic PDEs that arise in the context of pricing options when the volatility is a …

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries

M McAleer, MC Medeiros - Journal of Econometrics, 2008 - Elsevier
In this paper we propose a flexible model to describe nonlinearities and long-range
dependence in time series dynamics. The new model is a multiple regime smooth transition …

Parameter estimation for multiscale diffusions

GA Pavliotis, AM Stuart - Journal of Statistical Physics, 2007 - Springer
We study the problem of parameter estimation for time-series possessing two, widely
separated, characteristic time scales. The aim is to understand situations where it is …

Estimating the fractal dimension of the S&P 500 index using wavelet analysis

E Bayraktar, HV Poor, KR Sircar - International Journal of …, 2004 - World Scientific
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January
1989–May 2000) is analyzed, and in particular the Hurst parameter over segments of …

PricingAsian options with stochastic volatility

JP Fouque, CH Han - Quantitative Finance, 2003 - iopscience.iop.org
In this paper, we generalize the recently developed dimension reduction technique of Vecer
for pricing arithmetic average Asian options. The assumption of constant volatility in Vecer's …

Stochastic volatility effects on defaultable bonds

JP Fouque, R Sircar, KS⊘ lna - Applied Mathematical Finance, 2006 - Taylor & Francis
This paper studies the effect of introducing stochastic volatility in the first‐passage structural
approach to default risk. The impact of volatility time scales on the yield spread curve is …

Bounds and asymptotic approximations for utility prices when volatility is random

R Sircar, T Zariphopoulou - SIAM journal on control and optimization, 2004 - SIAM
This paper is a contribution to the valuation of derivative securities in a stochastic volatility
framework, which is a central problem in financial mathematics. The derivatives to be priced …

Maturity cycles in implied volatility

JP Fouque, G Papanicolaou, R Sircar, K Solna - Finance and Stochastics, 2004 - Springer
The skew effect in market implied volatility can be reproduced by option pricing theory based
on stochastic volatility models for the price of the underlying asset. Here we study the …