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://osf.io/q6ut7/downloa
In this article, we study a semiparametric multiplicative volatility model, which splits up into a n...
Although local volatility models are self-consistent, arbitrage-free and can be calibrated to match ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
The local volatility Gaussian model represents a significant improvement over the existing Lognormal...
A new version of the local scale model of Shephard (1994) is presented. Its features are identically...
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The in...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
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...
The Local Scale Model (LSM) of Shephard (1994) is similar in effect to IGARCH, but has an unobserved...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model ...
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid loca...
This paper examines the capabilities of the Normal Inverse Gaussian distribution as a model for stoc...
In this article, we study a semiparametric multiplicative volatility model, which splits up into a n...
Although local volatility models are self-consistent, arbitrage-free and can be calibrated to match ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
The local volatility Gaussian model represents a significant improvement over the existing Lognormal...
A new version of the local scale model of Shephard (1994) is presented. Its features are identically...
State space alternative to autoregressive conditional heteroskedasticity models are proposed. The in...
We study the local volatility function in the Foreign Exchange market where both domestic and foreig...
We study the local volatility function in the foreign exchange (FX) market, where both domestic and ...
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...
The Local Scale Model (LSM) of Shephard (1994) is similar in effect to IGARCH, but has an unobserved...
In this study, we modify the classical generalized autoregressive conditional heteroskedastic (GARCH...
The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model ...
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid loca...
This paper examines the capabilities of the Normal Inverse Gaussian distribution as a model for stoc...
In this article, we study a semiparametric multiplicative volatility model, which splits up into a n...
Although local volatility models are self-consistent, arbitrage-free and can be calibrated to match ...
In this thesis, using daily returns from 18 stocks, oil price, exchange rates and the main index of ...
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