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ARCH modeling in finance: A review of the theory and empirical evidence
Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …
characterizing high-frequency speculative prices, it was not until recently that applied …
ARCH models
This chapter evaluates the most important theoretical developments in ARCH type modeling
of time-varying conditional variances. The coverage include the specification of univariate …
of time-varying conditional variances. The coverage include the specification of univariate …
A closed-form solution for options with stochastic volatility with applications to bond and currency options
SL Heston - The review of financial studies, 1993 - academic.oup.com
I use a new technique to derive a closed-form solution for the price of a European call option
on an asset with stochastic volatility. The model allows arbitrary correlation between volatility …
on an asset with stochastic volatility. The model allows arbitrary correlation between volatility …
The econometrics of financial markets
This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …
acknowledged void in the literature—a text covering the burgeoning field of empirical …
Springer series in statistics
The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Statistical aspects of ARCH and stochastic volatility
1.1 Introduction Research into time series models of changing variance and covariance,
which I will collectively call volatility models, has exploded in the last ten years. This activity …
which I will collectively call volatility models, has exploded in the last ten years. This activity …
Stochastic volatility: likelihood inference and comparison with ARCH models
In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a
unified, practical likelihood-based framework for the analysis of stochastic volatility models …
unified, practical likelihood-based framework for the analysis of stochastic volatility models …
Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options
An efficient method is developed for pricing American options on stochastic volatility/jump-
diffusion processes under systematic jump and volatility risk. The parameters implicit in …
diffusion processes under systematic jump and volatility risk. The parameters implicit in …
Empirical performance of alternative option pricing models
Substantial progress has been made in develo** more realistic option pricing models.
Empirically, however, it is not known whether and by how much each generalization …
Empirically, however, it is not known whether and by how much each generalization …
[ספר][B] Dynamic asset pricing theory
D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
doctoral students and researchers on the theory of asset pricing and portfolio selection in …