Essays about: "rough stochastic volatility models"

Found 2 essays containing the words rough stochastic volatility models.

1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

   University essay from KTH/Matematik (Avd.)

   Author : Olof Hummelgren; [2022]
   Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

   Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

3. 2. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

   University essay from Göteborgs universitet/Graduate School

   Author : Saeedeh Ostovari; [2021-06-30]
   Keywords : fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

   Abstract : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. READ MORE