Concept

Stochastic volatility

Related publications (72)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

Out of Sample Forecasts of Quadratic Variation

Loriano Mancini

We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the v ...

2008

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

On the volatility and production mechanisms of newly formed nitrate and water soluble organic aerosol in Mexico City

Athanasios Nenes

Measurements of atmospheric gases and fine particle chemistry were made in the Mexico City Metropolitan Area (MCMA) at a site ∼30 km down wind of the city center. Ammonium nitrate (NH4NO3) dominated the inorganic aerosol fraction and showed a distinct diur ...

European Geosciences Union2008

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

Construction and real estate dynamics

Besides being a major constituent of the industrialised economies, many aspects of the construction sector such as its heterogeneity, high volatility, low productivity gains and tendency to generate bubbles make it a particularly fertile field of analysis ...

Palgrave Macmillan2003

Separation of binary mixtures by thermostatic sweeping gas membrane distillation I. Theory and simulations

Urs von Stockar, Ian William Marison

A math. model describing a novel sweeping gas membrane distn. (SGMD) configuration is presented and the sepn. of two volatile components from binary mixts. by this membrane process is theor. investigated. SGMD configuration is modified by using a thermosta ...

2002

Surface optimization of RBa2Cu3O7-delta (R = Y, Nd) epitaxial high T-c films for in situ photoemission studies

Davor Pavuna, Mike Abrecht

One of the intrinsic difficulties for in situ photoemission studies of high T-c oxide films is the surface volatility, especially the oxygen loss. In order to solve this problem, we have constructed a dedicated system for high T-c film surface studies, in ...

2000

Similarity laws for the tubular furnace as a model of a fixed-bed waste incinerator

The enrichment with heavy metals of bottom ash from municipal solid waste incinerators limits its sustainable use as a construction material. Part of the heavy metals evaporate during the incineration process. In order to determine the factors influencing ...

1999

Asset Prices and Trading Volume in a Beauty Contest

Speculators buy an asset hoping to sell it later to investors with higher private valuations. If agents are uncertain about the distribution of private valuations and about the beliefs of others about this distribution, a beauty contest with an infinite hi ...

1998

Applying the HJM-approach when volatility is stochastic

Pierre Collin Dufresne, Wei Shi

We propose a simple approach to extend the Heath, Jarrow and Morton (1992) model to a framework where the volatility of bond prices and forward rates is stochastic and where volatility-specific risk cannot necessarily be hedged in trading bonds. The arbitr ...

Carnegie Mellon University1997