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Annals Of Finance, Tập 8, Số 2-3, 2011
Mục lục:
DòngNội dung
1Symposium on stochastic volatility: an introductory overview / Frederi G. Viens
2Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations / Roger Lee, Dan Wang
3Option pricing under a stressed-beta model / Jean-Pierre Fouque, Adam P. Tashman
4Stochastic volatility and stochastic leverage / Almut E. D. Veraart, Luitgard A. M. Veraart
5A Gaussian calculus for inference from high frequency data / Per A. Mykland
6Implied and realized volatility: empirical model selection / Lan Zhang
7Level changes in volatility models / Mihaela Craioveanu, Eric Hillebrand
8Statistical estimation of Lévy-type stochastic volatility models / José E. Figueroa-López
9Affine fractional stochastic volatility models / F. Comte, L. Coutin, E. Renault
10Estimation and pricing under long-memory stochastic volatility / Alexandra Chronopoulou, Frederi G. Viens
11Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility / Ha-Young Kim, Frederi G. Viens