Essays on Stochastic Volatility and Jumps

Released on by Ke Chen (Economist)
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  • Essays on Stochastic Volatility and Jumps Book Detail

  • Author : Ke Chen (Economist)
  • Release Date : 2013
  • Publisher :
  • Genre :
  • Pages :
  • ISBN 13 :
  • File Size : 91,91 MB
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Essays on Stochastic Volatility and Jumps by Ke Chen (Economist) PDF Summary

Book Description: This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a framework of stochastic volatility with stochastic jump intensity. The proposed model considers jump intensity as an extra factor which is driven by realized jumps, in addition to a stochastic volatility model. The results provide strong evidence of multiple factors in the market and show how they drive the variance risk premium. Thirdly, the thesis uses the proposed models to price options on equity and VIX consistently. Based on calibrated model parameters, the thesis shows how to calculate the unconditional correlation of VIX future between different maturities.

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Essays on Stochastic Volatility and Jumps

Essays on Stochastic Volatility and Jumps

File Size : 72,72 MB
Total View : 2329 Views
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This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-

Essays on Stochastic Volatility and Jumps

Essays on Stochastic Volatility and Jumps

File Size : 7,7 MB
Total View : 1116 Views
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This dissertation comprises three essays on financial economics and econometrics. The first essay outlines and expands upon further testing results from Bhardwa