Multiscale stochastic volatility asymptotics (2003)

by Jean-Pierre Fouque , George Papanicolaou , Ronnie Sircar , Knut Solna
Venue:SIAM J. MULTISCALE MODELING AND SIMULATION
Citations:28 - 11 self

Active Bibliography

2 Timing the Smile – Jean-pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna - 2003
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
Maturity Cycles in Implied Volatility – Jean-Pierre Fouque George, George Papanicolaou, Ronnie Sircar, Knut Solna - 2002
1 An Option Pricing Formula for the GARCH diffusion Model Giovanni Barone-Adesi ∗ – Henrik Obbekaer Rasmussen, Claudia Ravanelli - 2003
22 Mean-Reverting Stochastic Volatility – Jean-Pierre Fouque, George Papanicolaou , K. Ronnie Sircar - 2000
10 IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY – Roger W. Lee - 2001
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration – Jean-pierre Fouque, Matthew Lorig, Ronnie Sircar - 2012
3 Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation – Roger W. Lee - 2002
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
48 Maximum likelihood estimation for stochastic volatility models – Yacine Aït-Sahalia, Robert Kimmel - 2007
Singular Perturbations on Non-Smooth Boundary Problems in Finance – Chuan-Hsiang Han - 2003
6 Comparison results for stochastic volatility models via coupling. Finance Stoch – David Hobson - 2008
13 Stochastic Volatility, Smile & Asymptotics – K. Ronnie Sircar , George C. Papanicolaou - 1998
Recession Prediction Modeling THE VOLATILITY PREMIUM RISK: VALUATION AND FORECASTING 1 – Bogdan Negrea
2 ANALYTIC METHODS FOR PRICING DOUBLE BARRIER OPTIONS IN THE PRESENCE OF STOCHASTIC VOLATILITY – OLIVER FAULHABER - 2002
1 Bayesian Time Series: Financial Models And Spectral Analysis – Yang Chen, Yang Chen - 1997
6 Stochastic Volatility – David G. Hobson - 1996
Option pricing for stochastic volatility models: Vol-of-Vol expansion – S. M. Ould Aly - 2013
72 The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets – Christopher S. Jones - 2000