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Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage butterfly riskreversal SABR model
2010/4/27
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
A new space-time model for volatility clustering in the financial market
space-time model volatility clustering financial market
2010/4/27
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by J\"arpe 2005. Properties of the mo...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatility estimation Le Cam defciency equivalence of experiments Gaussianshift
2010/4/27
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...