Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
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DOI: 10.1007/s11009-017-9548-5
Abstract: We consider the stochastic volatility model dSt = σtStdWt,dσt = ωσtdZt, with (Wt,Zt) uncorrelated standard Brownian motions. This is a special case of the Hull-White and the β=1 (log-normal) SABR model, which are widely used… read more here.
Keywords: model; stochastic volatility; volatility model; hull white ... See more keywords
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
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DOI: 10.1007/s11464-018-0705-0
Abstract: We consider the Euler-Maruyama discretization of stochastic volatility model dSt = σtStdWt, dσt = ωσtdZt, t ∈ [0, T], which has been widely used in financial practice, where Wt,Zt, t ∈ [0, T], are two… read more here.
Keywords: stochastic volatility; volatility; moderate deviations; euler maruyama ... See more keywords
Scalable inference for a full multivariate stochastic volatility model
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DOI: 10.1016/j.jeconom.2021.09.013
Abstract: We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number… read more here.
Keywords: stochastic volatility; volatility; multivariate; volatility model ... See more keywords
Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model
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DOI: 10.3390/math11092191
Abstract: We discuss the dynamic mean-variance (MV) problem for pairs trading with the assumptions that one of the security prices satisfies a stochastic volatility model (SVM) and the corresponding price spread follows an Ornstein–Uhlenbeck (OU) process.… read more here.
Keywords: optimal strategy; volatility; model; volatility model ... See more keywords