Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...
Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.
Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback