stochastic volatility造句

例句与造句

1. The local volatility model is a useful simplification of the stochastic volatility model.
2. Stochastic volatility models are one approach to resolve a shortcoming of the Black Scholes model.
3. With John Hull, he has made " seminal contributions " to the literature on stochastic volatility models, and credit derivative models.
4. Some argue that because the CEV model does not incorporate its own stochastic process for volatility, it is not truly a stochastic volatility model.
5. Modelling the volatility smile is an active area of research in quantitative finance, and better pricing models such as the stochastic volatility model partially address this issue.
6. It's difficult to find stochastic volatility in a sentence. 用stochastic volatility造句挺难的
7. This basic model with constant volatility \ sigma \, is the starting point for non-stochastic volatility models such as Black Scholes model and Cox Ross Rubinstein model.
8. When such volatility has a randomness of its own often described by a different equation driven by a different " W "  the model above is called a stochastic volatility model.
9. Approaches developed here in response include local volatility and stochastic volatility ( the closed-form models include : Jarrow and Rudd ( 1982 ); Corrado and Su ( 1996 ); Backus, Foresi, and Wu ( 2004 ).
10. ARCH-type models are sometimes considered to be in the family of stochastic volatility models, although this is strictly incorrect since at time " t " the volatility is completely pre-determined ( deterministic ) given previous values.
11. "' Mark Herbert Ainsworth Davis "'( born 1945 ) is Professor of Mathematics at Imperial College London, working on stochastic analysis and mathematical finance, in particular in credit risk models, pricing in incomplete markets and stochastic volatility.
12. The "'SABR "'model ( Stochastic Alpha, Beta, Rho ) describes a single forward F ( related to any asset e . g . an index, interest rate, bond, currency or equity ) under stochastic volatility \ sigma:
13. In the Heston model, we still have one asset ( volatility is not considered to be directly observable or tradeable in the market ) but we now have two Wiener processes-the first in the Stochastic Differential Equation ( SDE ) for the asset and the second in the SDE for the stochastic volatility.
14. Although the Black Scholes equation assumes predictable constant volatility, this is not observed in real markets, and amongst the models are Emanuel Derman and Iraj Kani's and Bruno Dupire's Local Volatility, Poisson Process where volatility jumps to new levels with a predictable frequency, and the increasingly popular Heston model of stochastic volatility.