Sentiment-aware volatility forecasting
Recent advances in the integration of deep recurrent neural networks and statistical
inferences have paved new avenues for joint modeling of moments of random variables …
inferences have paved new avenues for joint modeling of moments of random variables …
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …
meet the demand from investors, risk managers and speculators seeking diversification of …
Modeling and forecasting exchange rate volatility in time-frequency domain
This paper proposes an enhanced approach to modeling and forecasting volatility using
high frequency data. Using a forecasting model based on Realized GARCH with multiple …
high frequency data. Using a forecasting model based on Realized GARCH with multiple …
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Abstract The Wiener-Hopf factorization of a complex function arises in a variety of fields in
applied mathematics such as probability, finance, insurance, queuing theory, radio …
applied mathematics such as probability, finance, insurance, queuing theory, radio …
Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles
XJ He, P Pasricha, S Lin - Economic Modelling, 2024 - Elsevier
This paper discusses the European option pricing problem in the context of asset prices
being influenced by liquidity risks and economic cycles. We employ regime switching for …
being influenced by liquidity risks and economic cycles. We employ regime switching for …
An explicitly solvable Heston model with stochastic interest rate
MC Recchioni, Y Sun - European Journal of operational research, 2016 - Elsevier
This paper deals with a variation of the Heston hybrid model with stochastic interest rate
illustrated in Grzelak and Oosterlee (2011). This variation leads to a multi-factor Heston …
illustrated in Grzelak and Oosterlee (2011). This variation leads to a multi-factor Heston …
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?
In this article we derive tractable analytic solutions for futures and options prices for a linear-
quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and …
quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and …
Option pricing with conditional GARCH models
M Escobar-Anel, J Rastegari, L Stentoft - European Journal of Operational …, 2021 - Elsevier
This paper introduces a class of conditional GARCH models that offers significantly added
flexibility to accommodate empirically relevant features of financial asset returns while …
flexibility to accommodate empirically relevant features of financial asset returns while …
On calibration of stochastic and fractional stochastic volatility models
M Mrázek, J Pospíšil, T Sobotka - European Journal of Operational …, 2016 - Elsevier
In this paper we study optimization techniques for calibration of stochastic volatility models to
real market data. Several optimization techniques are compared and used in order to solve …
real market data. Several optimization techniques are compared and used in order to solve …
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
In this paper, we propose two new representation formulas for the conditional marginal
probability density of the multi-factor Heston model. The two formulas express the marginal …
probability density of the multi-factor Heston model. The two formulas express the marginal …