Statistical Methods in Finance 2017

Dec 16 - 19, 2017


A comparative study of discrete-time stochastic volatility model

by Pritam Ranjan

In this talk, I will first review a few popular stochastic volatility models (SVMs) in the literature. Then I will present a new class SVMs which were not usable yet because they did not satisfy efficient market hypothesis, i.e., zero expected return under the model. I will present mean-corrections for such SVMs, and some of their interesting properties. A brief comparison of these models will also be presented for several real-life datasets.