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Browsing Mathematics (Faculty of) by Supervisor "McLeish, Don"
Now showing items 1-2 of 2
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Computationally Efficient Multi-Asset Stochastic Volatility Modeling
(University of Waterloo, 2018-08-24)Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move together, multi-asset SV (mSV) models are ... -
The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity
(University of Waterloo, 2018-10-26)This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ...