Stochastic volatility and stochastic leverage
From MaRDI portal
Publication:470516
DOI10.1007/s10436-010-0157-3zbMath1298.60070OpenAlexW2117629490MaRDI QIDQ470516
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/16282457/rp09_20.pdf
stochastic volatilityOrnstein-Uhlenbeck processLévy processleverage effectHeston modelJacobi processvolatility of volatilitystochastic correlationBarndorff-Nielsen modelShephard modelsquare root diffusion
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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