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Nonparametric Stochastic Volatility · Study

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PreprintNonparametric Stochastic Volatility

Federico Maria Bandi2008

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Preprintgreen2008

Nonparametric Stochastic Volatility

Federico Maria Bandi · Roberto Renò

40 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 2003Modeling and Forecasting Realized Volatility 2003Financial Modelling with Jump Processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Cited by

2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?2009Stochastic Volatility and Stochastic Leverage 2017ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES 2014Fourier transform methods for pathwise covariance estimation in the presence of jumps

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2009Stochastic Volatilityother · 29 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 20 shared references 2014Fact or friction: Jumps at ultra high frequencyarticle · 18 shared references 2015Price and volatility co-jumpsarticle · 18 shared references 2005Volatility Forecastingreport · 18 shared references 2012Time-varying leverage effectsarticle · 18 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1158438

openalex_workW1500828897

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