Multiple time scales in volatility and leverage correlations: a stochastic volatility model

Author： Perelló Josep   Masoliver Jaume   Bouchaud Jean-Philippe  

Publisher： Routledge Ltd

ISSN： 1466-4313

Source： Applied Mathematical Finance, Vol.11, Iss.1, 2004-03, pp. : 27-50

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Stochastic Volatility Model with Time‐dependent Skew

By Piterbarg Vladimir  

Applied Mathematical Finance, Vol. 12, Iss. 2, 2005-06 ,pp. : 147-185

Routledge Ltd

Access to resources Recommend Favorite

Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model

By Forde Martin   Jacquier Antoine  

Applied Mathematical Finance, Vol. 18, Iss. 6, 2011-12 ,pp. : 517-535

Routledge Ltd

Access to resources Recommend Favorite

Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

By Elliott Robert   Siu Tak Kuen   Chan Leunglung  

Applied Mathematical Finance, Vol. 14, Iss. 1, 2007-02 ,pp. : 41-62

Routledge Ltd

Access to resources Recommend Favorite

Estimation of stochastic volatility in the Hull–White model

By Aihara Shinichi   Bagchi Arunabha  

Applied Mathematical Finance, Vol. 7, Iss. 3, 2000-09 ,pp. : 153-181

Routledge Ltd

Access to resources Recommend Favorite

A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

By Guo Jia-Hau   Hung Mao-Wei  

Applied Mathematical Finance, Vol. 14, Iss. 4, 2007-09 ,pp. : 339-345

Routledge Ltd

Access to resources Recommend Favorite