Financial modeling in a fast mean-reverting stochastic volatility environment

Keyphrases

• Stochastic Volatility 100%
• Mean-reverting 100%
• Volatility 100%
• Financial Modeling 100%
• Estimation Method 66%
• Implied Volatility 66%
• Derivative Pricing 66%
• Asymptotic Analysis 33%
• Bursty 33%
• Growth Rate 33%
• Option Price 33%
• Asset Prices 33%
• Partial Differential Equations 33%
• Stochastic Volatility Model 33%
• Path Dependence 33%
• S&P 500 33%
• Derivative Estimation 33%
• Simple Procedure 33%
• Asset Volatility 33%
• Contingent Claims 33%
• Derivative Contracts 33%
• Pricing Problem 33%
• Knock 33%
• Market Value 33%
• Barrier Options 33%
• Pricing Formulae 33%
• Moneyness 33%
• Hedging Problem 33%
• Stock Market Volatility 33%
• Group Parameters 33%
• Mean Reversion 33%
• Price Shocks 33%
• Derivative Prices 33%
• European Derivatives 33%
• Pricing Methodology 33%
• Derivatives Hedging 33%
• Maturity Ratio 33%
• Volatility Risk 33%
• Volatility Shocks 33%
• European Style 33%
• Index Options 33%

Mathematics

• Timescale 100%
• Stochastic Volatility 100%
• Implied Volatility 100%
• Asymptotics 50%
• Asymptotic Analysis 50%
• Partial Differential Equation 50%
• Option Price 50%
• Stochastic Volatility Model 50%
• Parameter Group 50%
• Asset Price 50%
• Market Price 50%
• Contingent Claim 50%
• Barrier Option 50%

Economics, Econometrics and Finance

• Financial Modelling 100%
• Future Of Work 11%