Alternative Models for Stock Price Dynamics PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Alternative Models for Stock Price Dynamics PDF full book. Access full book title Alternative Models for Stock Price Dynamics by CIRANO.. Download full books in PDF and EPUB format.
Author: CIRANO.
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
Author: CIRANO.
Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
Author: Mikhail Chernov
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
Get Book Here
Book Description
The purpose of this paper is to shed further light on the tensions that exist between the empirical fit of stochastic volatility (SV) models and their linkage to option pricing. A number of recent papers have investigated several specifications of one-factor SV diffusion models associated with option pricing models. The empirical failure of one-factor affine, Constant Elasticity of Variance (CEV), and one-factor log-linear SV models leaves us with two strategies to explore: (1) add a jump component to better fit the tail behavior or (2) add an additional (continuous path) factor where one factor controls the persistence in volatility and the second determines the tail behavior. Both have been partially pursued and our paper embarks on a more comprehensive examination which yields some rather surprising results. Adding a jump component to the basic Heston affine model is known to be a successful strategy as demonstrated by Andersen et al. (1999), Eraker et al. (1999), Chernov et al. (1999), and Pan (1999). Unfortunately, the presence of a jump component introduces quite a few unpleasant econometric issues. In addition, several financial issues, like hedging and risk factors become more complex. In this paper we show that a two-factor log-linear SV diffusion model (without jumps) appears to yield a remarkably good empirical fit. We estimate the model via the EMM procedure of Gallant and Tauchen (1996) which allows us to compare the non-nested log-linear SV diffusion with the affine jump specification. Obviously, there is one drawback to the log-linear SV models when it comes to pricing derivatives since no closed-form solutions are available. Against this cost weights the advantage of avoiding all the complexities involved with jump processes.
Author: Per Frennberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
Get Book Here
Book Description
Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 238
Get Book Here
Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Luc Bauwens
Publisher: John Wiley & Sons
ISBN: 0470872519
Category : Business & Economics
Languages : en
Pages : 566
Get Book Here
Book Description
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author: Robert E. Whaley
Publisher: John Wiley & Sons
ISBN: 0471786322
Category : Business & Economics
Languages : en
Pages : 958
Get Book Here
Book Description
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Author: Antoine Petrus Cornelius van der Ploeg
Publisher: Rozenberg Publishers
ISBN: 9051705778
Category :
Languages : en
Pages : 358
Get Book Here
Book Description
Author: Torben Gustav Andersen
Publisher: Springer Science & Business Media
ISBN: 3540712976
Category : Business & Economics
Languages : en
Pages : 1045
Get Book Here
Book Description
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author: A. R. Pagan
Publisher:
ISBN:
Category :
Languages : es
Pages : 22
Get Book Here
Book Description
Author: Hali J. Edison
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 48
Get Book Here
Book Description
