The local volatility Gaussian model represents a significant improvement over the existing Lognormal Gaussian Model in its ability to incorporate FX volatility skew effects and value FX-IR hybrid swaps in line with market consensus.https://finpricing.com/lib/EqCallable.htm
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid loca...
The local volatility Gaussian model represents a significant improvement over the existing Lognormal...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
A new version of the local scale model of Shephard (1994) is presented. Its features are identically...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The in...
We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial ma...
This thesis presents our study on using the hybrid stochastic-local volatility model for option pric...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
This paper examines the capabilities of the Normal Inverse Gaussian distribution as a model for stoc...
A general purpose of mathematical models is to accurately mimic some observed phenomena in the real ...
The Local Scale Model (LSM) of Shephard (1994) is similar in effect to IGARCH, but has an unobserved...
In practice, the choice of using a local volatility model or a stochastic volatility model is made a...
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid loca...
The local volatility Gaussian model represents a significant improvement over the existing Lognormal...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
A new version of the local scale model of Shephard (1994) is presented. Its features are identically...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The in...
We discuss the Normal inverse Gaussian (NIG) distribution in modeling volatility in the financial ma...
This thesis presents our study on using the hybrid stochastic-local volatility model for option pric...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
This paper examines the capabilities of the Normal Inverse Gaussian distribution as a model for stoc...
A general purpose of mathematical models is to accurately mimic some observed phenomena in the real ...
The Local Scale Model (LSM) of Shephard (1994) is similar in effect to IGARCH, but has an unobserved...
In practice, the choice of using a local volatility model or a stochastic volatility model is made a...
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid loca...
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