Stochastic Volatility - Articles - Scientific Research Publishing

Forecasting Crude Oil Price Volatility by Heston Model (Articles)

Patrick Kandege Mwanakatwe, Joanitha Daniel, Kulwa Roberth Nzungu

Journal of Mathematical Finance Vol.13 No.3, August 29, 2023

DOI: 10.4236/jmf.2023.133026 377 Downloads 1,782 Views Citations
Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model (Articles)

Chunxiang A, Yi Shao

Journal of Mathematical Finance Vol.7 No.3, July 31, 2017

DOI: 10.4236/jmf.2017.73037 1,456 Downloads 3,144 Views Citations
This article belongs to the Special Issue on Finance and Portfolio Management
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models (Articles)

Tommaso Pellegrino

Journal of Mathematical Finance Vol.9 No.3, August 22, 2019

DOI: 10.4236/jmf.2019.93025 1,020 Downloads 2,279 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12, December 23, 2019

DOI: 10.4236/am.2019.1012073 835 Downloads 2,670 Views Citations
A Unified Stochastic Volatility—Stochastic Correlation Model (Articles)

Xiang Lu, Gunter Meissner, Hong Sherwin

Journal of Mathematical Finance Vol.10 No.4, November 25, 2020

DOI: 10.4236/jmf.2020.104039 785 Downloads 3,018 Views Citations
This article belongs to the Special Issue on Financial Statistics
Pricing Multi-Strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates (Articles)

Boris Ter-Avanesov, Gunter Meissner

Applied Mathematics Vol.16 No.1, January 27, 2025

DOI: 10.4236/am.2025.161005 88 Downloads 746 Views Citations
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models (Articles)

Yong Li, Fang-Ping Peng, Hao-Feng Xu

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21010 5,605 Downloads 10,050 Views Citations
Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model (Articles)

Hui Zhao, Ximin Rong, Weiqin Ma, Bo Gao

Modern Economy Vol.3 No.6, October 31, 2012

DOI: 10.4236/me.2012.36092 4,600 Downloads 8,019 Views Citations
Recent Developments in Option Pricing (Articles)

Hui Gong, You Liang, Aerambamoorthy Thavaneswaran

Journal of Mathematical Finance Vol.1 No.3, November 25, 2011

DOI: 10.4236/jmf.2011.13009 6,990 Downloads 14,436 Views Citations
Bayesian Estimation of Non-Gaussian Stochastic Volatility Models (Articles)

Asma Graja Elabed, Afif Masmoudi

Journal of Mathematical Finance Vol.4 No.2, February 19, 2014

DOI: 10.4236/jmf.2014.42009 5,185 Downloads 8,191 Views Citations
Uncertain Volatility Derivative Model Based on the Polynomial Chaos (Articles)

Stefanos Drakos

Journal of Mathematical Finance Vol.6 No.1, February 19, 2016

DOI: 10.4236/jmf.2016.61007 3,843 Downloads 5,353 Views Citations
Multivariate Stochastic Volatility Estimation with Sparse Grid Integration (Articles)

Halil Erturk Esen

Journal of Mathematical Finance Vol.6 No.1, February 19, 2016

DOI: 10.4236/jmf.2016.61009 3,830 Downloads 5,119 Views Citations
An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility (Articles)

Albert N. Sandjo, Fabrice Colin, Salissou Moutari

Journal of Mathematical Finance Vol.7 No.1, February 28, 2017

DOI: 10.4236/jmf.2017.71011 2,098 Downloads 4,502 Views Citations
Mathematical Analysis of Financial Model on Market Price with Stochastic Volatility (Articles)

Mitun Kumar Mondal, Md. Abdul Alim, Md. Faizur Rahman, Md. Haider Ali Biswas

Journal of Mathematical Finance Vol.7 No.2, May 19, 2017

DOI: 10.4236/jmf.2017.72019 3,127 Downloads 6,737 Views Citations
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model (Articles)

Chidi U. Okonkwo, Bright O. Osu, Silas A. Ihedioha, Chigozie Chibuisi

Journal of Mathematical Finance Vol.8 No.4, September 30, 2018

DOI: 10.4236/jmf.2018.84039 1,343 Downloads 3,333 Views Citations
This article belongs to the Special Issue on Stochastic Methods and Finance
Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting (Articles)

Baojun Bian, Xinfu Chen, Xudong Zeng

Journal of Mathematical Finance Vol.9 No.3, August 20, 2019

DOI: 10.4236/jmf.2019.93020 1,025 Downloads 2,709 Views Citations
This article belongs to the Special Issue on Financial Econometrics
Malliavin Differentiability of CEV-Type Heston Model (Articles)

Shota Tsumurai

Journal of Mathematical Finance Vol.10 No.1, February 26, 2020

DOI: 10.4236/jmf.2020.101012 764 Downloads 1,818 Views Citations
Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional (Articles)

Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

Journal of Mathematical Finance Vol.10 No.3, August 25, 2020

DOI: 10.4236/jmf.2020.103025 554 Downloads 1,346 Views Citations
This article belongs to the Special Issue on Pricing Strategy, Model and Price Analysis
The Asymmetry of Shanghai Composite Index Volatility—Stochastic Volatility Models Based on GHST Distribution (Articles)

Xu Han, Jihong Kong

Open Journal of Social Sciences Vol.8 No.12, December 28, 2020

DOI: 10.4236/jss.2020.812028 410 Downloads 1,329 Views Citations
Pricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility (Articles)

Ndeye Fatou Sene, Mamadou Abdoulaye Konte, Jane Aduda

Journal of Mathematical Finance Vol.11 No.2, May 31, 2021

DOI: 10.4236/jmf.2021.112018 638 Downloads 3,662 Views Citations
This article belongs to the Special Issue on Mathematical Finance and Application

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