Publications related to Stochastic volatility

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Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin Dufresne

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...

Columbia Business School2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Biomass selection by floods and related timescales. Part 2: Stochastic modeling

Paolo Perona, Benoît Crouzy

We analyze the results from a flume experiment presented in a companion paper by Perona et al. [1] exploring the selective action of floods on pioneer riparian vegetation. We study the way seedlings react to periodic flow disturbances in the early stages o ...

Elsevier2012

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...

Institute of Mathematical Statistics2011

A Trajectory-based Calibration Method for Stochastic Motion Models

Alcherio Martinoli, Massimo Mastrangeli, Grégory Mermoud, Ezequiel Leonardo Di Mario

In this paper, we present a quantitative, trajectory-based method for calibrating stochastic motion models of water-floating robots. Our calibration method is based on the Correlated Random Walk (CRW) model, and consists in minimizing the Kolmogorov-Smirno ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

Pinar Uysal

We examine whether equity volatility can explain the difference in syndicated corporate loan spreads paid by U.S. and European borrowers first documented by Carey and Nini (2007). We argue that OLS estimates of the association between equity volatility and ...

Center for Fiscal Policy Working Paper Series2011

Demand Response Using Service Curves

Jean-Yves Le Boudec, Dan-Cristian Tomozei

Existing methods for demand response either assume direct control of appliances by supplier, or assume that consumers adapt their load by reacting to pricing signals. The former are intrusive and might not scale well; the latter expose consumers to price v ...

2011

Improving Modeling of MEMS-IMUs Operating in GNSS-denied Conditions

Jan Skaloud, Stéphane Guerrier, Yannick Stebler

Stochastic modeling is a challenging task for low- cost inertial sensors whose errors can have complex spectral structures. This makes the tuning process of the INS/GNSS Kalman filter often sensitive and difficult. We are currently investigating two approa ...

Inst Navigation2011

Robust Value at Risk Prediction

Loriano Mancini, Fabio Trojani

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that contr ...

Oxford University Press2011

Stochastic volatility

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Insider Trading, Stochastic Liquidity and Equilibrium Prices

Financial Markets Equilibrium with Heterogeneous Agents

Biomass selection by floods and related timescales. Part 2: Stochastic modeling

Affine Processes On Positive Semidefinite Matrices

A Trajectory-based Calibration Method for Stochastic Motion Models

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

Demand Response Using Service Curves

Improving Modeling of MEMS-IMUs Operating in GNSS-denied Conditions

Hedging Electricity Swing Options in Incomplete Markets

Robust Value at Risk Prediction

Affine Processes On Positive Semidefinite Matrices

Biomass selection by floods and related timescales. Part 2: Stochastic modeling

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Financial Markets Equilibrium with Heterogeneous Agents

A Trajectory-based Calibration Method for Stochastic Motion Models

Improving Modeling of MEMS-IMUs Operating in GNSS-denied Conditions

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

Demand Response Using Service Curves

Hedging Electricity Swing Options in Incomplete Markets

Robust Value at Risk Prediction