Review of stochastic volatility models

Publish Year: 1395
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:

ICOEM01_029

تاریخ نمایه سازی: 25 آذر 1395

Abstract:

The purpose of this study is to introduce the stochastic volatility modelsfor short term interest. This context is important because the volatility isassociated with risk and risk management, it offers a measure ofpossible variations of economic variables and the increased volatility ofthe markets can trigger economic crises as it can be seen in economichistory. For this reason we study the short term interest rate models andthen we peruse the major models in this context. For this idea we studydiffusion models, stochastic volatility models, regime switching modelsand stochastic regime switching models then we will examine theadvantages and disadvantages of these models. More on this story westudy regime switching model and its types. In this way, first we perusethreshold models and Markov switching models briefly then introduceMarkov switching models that classified according to their Transferfunction. These models can be investigated in exchange rate data, stockmarkets and etc.

Authors

Soheil Salimi Nasab

Department of Financial Engineering, Science and Culture University, Tehran

Roya Motezakery

Department of Basic Sciences, Shahrood University, Shahrood, Iran

Salman Salimi Nasab

Department of Engineering, Shahid Tond Goyan University, Abadan

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