McMC estimation of multiscale stochastic volatility models with applications

DOI10.1016/J.MATCOM.2013.07.005OpenAlexW2057452621MaRDI QIDQ2229879

Jean-Pierre Fouque, Chuan-Hsiang Han, German Molina

Publication date: 18 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2013.07.005

zbMATH Keywords

Markov chain Monte Carlomodel calibrationmultifactor modelimplied volatility surfacetime scales in volatility

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Related Items (1)

Monte Carlo calibration to implied volatility surface under volatility models

Cites Work

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• A smooth estimator for MC/QMC methods in finance
• Generalized autoregressive conditional heteroscedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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