Beyond Stochastic Volatility and Jumps in Returns and Volatility
Language: en
Pages:

Beyond Stochastic Volatility and Jumps in Returns and Volatility

Authors: Garland Durham
Categories:
Type: BOOK - Published: 2015 - Publisher:

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While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have t
Stochastic Volatility Model with Jumps in Returns and Volatility
Language: en
Pages: 258

Stochastic Volatility Model with Jumps in Returns and Volatility

Authors: Adjoa K. Numatsi
Categories: Stochastic analysis
Type: BOOK - Published: 2010 - Publisher:

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Stochastic Volatility with Reset at Jumps
Language: en
Pages: 26

Stochastic Volatility with Reset at Jumps

Authors: Jun Pan
Categories:
Type: BOOK - Published: 2009 - Publisher:

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This paper presents a model for asset returns incorporating both stochastic volatility and jump effects. The return process is driven by two types of randomness
The Volatility Surface
Language: en
Pages: 204

The Volatility Surface

Authors: Jim Gatheral
Categories: Business & Economics
Type: BOOK - Published: 2011-03-10 - Publisher: John Wiley & Sons

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Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is
The Impact of Jumps in Volatility and Returns
Language: en
Pages: 47

The Impact of Jumps in Volatility and Returns

Authors: Michael S. Johannes
Categories:
Type: BOOK - Published: 2011 - Publisher:

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This paper examines a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility. We devel