Found 27 Documents (Results 1–27)
Geometric ergodicity of the multivariate COGARCH(1,1) process. (English) Zbl 1500.60045
Reviewer: Romeo Negrea (Timişoara)
The multivariate mixture dynamics model: shifted dynamics and correlation skew. (English) Zbl 1475.91350
Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing. (English) Zbl 1461.91313
Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data. (English) Zbl 1456.62172
A local Gaussian bootstrap method for realized volatility and realized beta. (English) Zbl 1428.62499
Reviewer: Tamás Mátrai (Edinburgh)
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. (English. French summary) Zbl 1404.62081
A multivariate stochastic volatility model with applications in the foreign exchange market. (English) Zbl 1417.91496
Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process. (English) Zbl 1408.91226
A Markov chain estimator of multivariate volatility from high frequency data. (English) Zbl 1359.62344
Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 361-394 (2016).
Multivariate subordination of Markov processes with financial applications. (English) Zbl 1351.60103
Some properties of stochastic volatility model that are induced by its volatility sequence. (English) Zbl 1486.62274
Heavy tailed time series with extremal independence. (English) Zbl 1333.60102
Reviewer: Eugen Paltanea (Braşov)
A law of large numbers for the power variation of fractional Lévy processes. (English) Zbl 1316.60038
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform. (English) Zbl 1304.91226
Stochastic volatility models with possible extremal clustering. (English) Zbl 1286.91144
Reviewer: Emilia Di Lorenzo (Napoli)
Option pricing in multivariate stochastic volatility models of OU type. (English) Zbl 1255.91133
MSC:
91B25
60G51
Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models. (English) Zbl 1234.60055
Reviewer: Zakhar Kabluchko (Ulm)
A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing. (English) Zbl 1185.91192
Reviewer: Nikolaos Halidias (Athens)
A Fourier transform method for nonparametric estimation of multivariate volatility. (English) Zbl 1168.62030
Gaussian copula under multiscale volatility. (English) Zbl 1194.91205
Reviewer: A. D. Borisenko (Kyïv)
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