Volatility of prices of financial assets

Автор(и)

  • Luca Di Persio Національний педагогічний університет імені М.П. Драгоманова, Italy
  • Nicola Gugole Department of Computer Science, University of Verona., Italy

DOI:

https://doi.org/10.31392/2307-4515/2018-12.1

Біографія автора

Luca Di Persio, Національний педагогічний університет імені М.П. Драгоманова

директор наукової бібліотеки, доцент кафедри інформаційних систем і технологій

Посилання

Ait-Sahalia, Yacine and Robert Kimmel. 2007. Maximum likelihood estimation of stochastic volatility models. Journal of Financial Economics 83(2):413-452.

Ait-Sahalia, Yacine et al. 2008. Closed-form likelihood expansions for multivariate diffusions. The Annals of Statistics, 36(2):906-937.

Bergomi, L. 2015. Stochastic Volatility Modeling. CRC Press.

Black, F. and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81(3):637-654.

Cordoni, F. and L. Di Persio. 2014. First order correction for the characteristic function of a multidimensional and multiscale stochastic volatility model. International Journal of Pure and Applied Mathematics 93(5):741-752.

Cordoni, F. and L. Di Persio. 2015. Invariant measure for the Vasi-cek interest rate model in the Heath-Jarrow-Morton-Musiela framework. Infinite Dimensional Analysis, Quantum Probability and Related Topics 18(3):1550022.

Cox, J.C. and S. A. Ross. 1976. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3(1-2):145-166.

Derman, E. and M. B. Miller. 2016. The Volatility Smile. John Wiley & Sons.

Di Persio, L., A. Cecchin, and F. Cordoni. 2017. Novel approaches to the energy load unbalance forecasting in the Italian electricity market. Journal of Mathematics in Industry 7(5).

Di Persio, L. and M. Frigo. 2015. Maximum likelihood approach to Markov switching models. WSEAS Transactions on Business and Economics 12:239-242.

Di Persio, L. and M. Frigo. 2016. Gibbs sampling approach to regime switching analysis of financial time series. Journal of Computational and Applied Mathematics 300:43-55.

Di Persio, L. and S. Vettori. 2014. Markov switching model analysis of implied volatility for market indexes with applications to S&P 500 and dax. Journal of Mathematics.

Engle, Robert F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society 50(4):987-1007.

Fama, E. 1965. The behavior of stock market prices. Journal of Business 38:34-105.

Gatheral, J. 2011. The volatility surface: a practitioner’s guide, vol. 357. John Wiley & Sons.

Harvey, Andrew, Esther Ruiz, and Neil Shephard. 1994. Multivariate stochastic variance models. The Review of Economic Studies 61(2):247-264.

Harvey, Andrew C. 1990. Forecasting, structural time series models and the Kalman filter. Cambridge University Press.

Heston, S. L. 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies 6(2):327-343.

Hull, John and Alan White. 1987. The pricing of options on assets with stochastic volatilities. The Journal of Finance 42(2):281-300.

Jacquier, Eric, Nicholas G. Polson, and Peter E. Rossi. 1999. Stochastic volatility: Univariate and multivariate extensions.

Jacquier, Eric, Nicholas G. Polson, and Peter E Rossi. 2004. Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics, 122(1):185-212.

Mandelbrot, Benoit. 1963. The variation of certain speculative prices. The Journal of Business 36(4):394-419.

Nelson, Daniel B. 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society 59(2):347-370.

Platanioti, K., E.J. McCoy, and D. A. Stephens. 2005. A review of stochastic volatility: univariate and multivariate models. Technical report, working paper.

Shepard, N. 1995. Statistical aspects of arch and stochastic volatility.

Taylor, Stephen J. 1986. Modelling financial time series. World Scientific.

Taylor, Stephen J. 1994. Modeling stochastic volatility: A review and comparative study. Mathematical Finance 4(2):183-204.

##submission.downloads##

Опубліковано

2021-06-04

Номер

Розділ

Природничі науки