Abstract
Review of Popular Discrete-time Stochastic Volatility Models
by
Pritam Ranjan
In this talk, we first discuss the fundamental properties and expectations of a stochastic volatility model (SVM). Then, we review a few popular SVMs in the literature. We propose using an alternate class of SVMs which were not usable yet as they did not satisfy efficient market hypothesis, i.e., zero expected return under the model. We derive mean-corrections for such SVMs and thus make them usable. This new class of SVMs have interesting properties, for instance, lead-lag correlations that are consistent with the empirical observations.
Committee
Workshop
Key Dates
Communication
First Conference Link