Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

The traditional approach to stochastic volatility (SV) modelling begins with the specification of an SV process, typically on the grounds of its analytical tractability (see, for example, Heston, 1993 ...

This paper generalizes the standard homoscedastic macro-finance model by allowing for stochastic volatility, using the "square root" specification of the mainstream finance literature. Empirically, ...

In this paper, we introduce a multilevel specification with stochastic volatility for repeated cross-sectional data. Modelling the time dynamics in repeated cross sections requires a suitable ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three ...

Download the article as a PDF (opens new browser window) Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content. To access these options, ...

The ability of the usual factors from empirical arbitrage-free representations of the term structure — that is, spanned factors — to account for interest rate volatility dynamics has been much debated ...

• Ahsan, M. N. and Dufour, J-M. (2019). “A simple efficient moment-based estimator for the stochastic volatility model,” Advances in Econometrics. Vol. 40A, pp ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...